How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

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	1.1915	4.08***
αARCH	0.2110	8.61***
βGARCH	0.7881	31.23***

γ₁	-0.3219	-1.02
γ₂	1.2625	1.74*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1915	4.08***
α ARCH Response to squared shocks	0.2110	8.61***
β GARCH Volatility persistence	0.7881	31.23***

γ₁	-0.3219	-1.02
γ₂	1.2625	1.74*

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T-Cap Securities JSC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other T-Cap Securities JSC Analyses