How volatility evolves over time

How illiquidity evolves over time

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How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.6159	1.62
αARCH	0.1068	5.01***
βGARCH	0.8796	48.96***

γ₁	-2.5989	-1.44
γ₂	4.1551	1.45
γ₃	-1.8905	-1.16
γ₄	0.7601	0.79
γ₅	-2.4579	-3.82***
γ₆	3.4757	7.06***
γ₇	-1.1903	-2.85***
γ₈	-0.4187	-1.20
γ₉	0.1049	0.34
γ₁₀	0.3009	0.78

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6159	1.62
α ARCH Response to squared shocks	0.1068	5.01***
β GARCH Volatility persistence	0.8796	48.96***

γ₁	-2.5989	-1.44
γ₂	4.1551	1.45
γ₃	-1.8905	-1.16
γ₄	0.7601	0.79
γ₅	-2.4579	-3.82***
γ₆	3.4757	7.06***
γ₇	-1.1903	-2.85***
γ₈	-0.4187	-1.20
γ₉	0.1049	0.34
γ₁₀	0.3009	0.78

V-Lab

Trisul Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Trisul Sa Analyses