How volatility 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	0.2077	4.85***
αARCH	0.1137	6.57***
βGARCH	0.8148	26.50***

γ₁	0.0177	0.09
γ₂	-0.1743	-0.59
γ₃	0.6095	2.70***
γ₄	-1.1551	-6.10***
γ₅	1.3883	6.68***
γ₆	-1.1154	-4.47***
γ₇	1.0664	2.72***
γ₈	-1.1114	-1.88*
γ₉	0.7158	1.20
γ₁₀	-0.9416	-1.82*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2077	4.85***
α ARCH Response to squared shocks	0.1137	6.57***
β GARCH Volatility persistence	0.8148	26.50***

γ₁	0.0177	0.09
γ₂	-0.1743	-0.59
γ₃	0.6095	2.70***
γ₄	-1.1551	-6.10***
γ₅	1.3883	6.68***
γ₆	-1.1154	-4.47***
γ₇	1.0664	2.72***
γ₈	-1.1114	-1.88*
γ₉	0.7158	1.20
γ₁₀	-0.9416	-1.82*

V-Lab

Vitura SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vitura SA Analyses