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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Parameter	Value	t-statistic
ω const Unconditional variance weight	19.1788	3.58***
α ARCH Response to squared shocks	0.8256	259.94***
β GARCH Volatility persistence	0.1739	54.96***

γ₁	-0.2495	-0.19
γ₂	-0.2894	-0.13
γ₃	-3.1852	-1.74*
γ₄	17.5142	4.22***
γ₅	-65.3671	-11.59***
γ₆	153.2260	29.50***
γ₇	-266.4066	-16.39***
γ₈	380.2151	13.89***

V-Lab

Wata Chemicals Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wata Chemicals Ltd Analyses