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	9.9536
αARCH	0.3472
βGARCH	0.6025

γ₁	9.7575
γ₂	-29.3139
γ₃	37.2326
γ₄	-47.1648
γ₅	419.1260
γ₆	-2,416.9375
γ₇	5,517.7909
γ₈	-5,944.5186
γ₉	3,259.8716
γ₁₀	-1,246.0673

Parameter	Value	t-statistic
ω const Unconditional variance weight	9.9536
α ARCH Response to squared shocks	0.3472
β GARCH Volatility persistence	0.6025

γ₁	9.7575
γ₂	-29.3139
γ₃	37.2326
γ₄	-47.1648
γ₅	419.1260
γ₆	-2,416.9375
γ₇	5,517.7909
γ₈	-5,944.5186
γ₉	3,259.8716
γ₁₀	-1,246.0673

V-Lab

Tycoon Holding Co for Financial Investments Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tycoon Holding Co for Financial Investments Analyses