How volatility evolves over time

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{name} Model Equation

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	1.1354	0.04
αARCH	0.1462	0.01
βGARCH	0.8538	0.04

γ₁	-0.9942	0.00
γ₂	2.8808	0.00
γ₃	-1.1193	0.00
γ₄	-3.4014	-0.01
γ₅	4.6770	0.29
γ₆	-4.6525	-0.26
γ₇	4.9228	0.26
γ₈	-3.0181	-2.47**
γ₉	0.9457	0.02

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1354	0.04
α ARCH Response to squared shocks	0.1462	0.01
β GARCH Volatility persistence	0.8538	0.04

γ₁	-0.9942	0.00
γ₂	2.8808	0.00
γ₃	-1.1193	0.00
γ₄	-3.4014	-0.01
γ₅	4.6770	0.29
γ₆	-4.6525	-0.26
γ₇	4.9228	0.26
γ₈	-3.0181	-2.47**
γ₉	0.9457	0.02

V-Lab

Vien Dong Investment Develop Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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