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	1.3541	5.44***
αARCH	0.0934	4.29***
βGARCH	0.8008	18.22***

γ₁	-0.6868	-1.55
γ₂	1.0042	1.52
γ₃	0.0780	0.20
γ₄	-0.8328	-2.59***
γ₅	0.7973	2.29**
γ₆	-0.8998	-2.21**
γ₇	1.0887	2.19**
γ₈	0.1599	0.20
γ₉	-3.1376	-2.39**
γ₁₀	4.4908	2.44**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3541	5.44***
α ARCH Response to squared shocks	0.0934	4.29***
β GARCH Volatility persistence	0.8008	18.22***

γ₁	-0.6868	-1.55
γ₂	1.0042	1.52
γ₃	0.0780	0.20
γ₄	-0.8328	-2.59***
γ₅	0.7973	2.29**
γ₆	-0.8998	-2.21**
γ₇	1.0887	2.19**
γ₈	0.1599	0.20
γ₉	-3.1376	-2.39**
γ₁₀	4.4908	2.44**

V-Lab

WAM Active Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other WAM Active Ltd Analyses