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	65.3603
αARCH	0.2998
βGARCH	0.6952

γ₁	9.5516
γ₂	-57.5037
γ₃	140.3893
γ₄	-199.7905
γ₅	474.8686
γ₆	-2,254.0998
γ₇	5,393.2996
γ₈	-6,201.1043
γ₉	3,726.7874
γ₁₀	-1,746.5127

Parameter	Value	t-statistic
ω const Unconditional variance weight	65.3603
α ARCH Response to squared shocks	0.2998
β GARCH Volatility persistence	0.6952

γ₁	9.5516
γ₂	-57.5037
γ₃	140.3893
γ₄	-199.7905
γ₅	474.8686
γ₆	-2,254.0998
γ₇	5,393.2996
γ₈	-6,201.1043
γ₉	3,726.7874
γ₁₀	-1,746.5127

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