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	3.7953	6.07***
αARCH	0.0970	8.23***
βGARCH	0.8658	40.40***

γ₁	0.0203	3.26***
γ₂	-0.0311	-3.52***
γ₃	0.0333	5.45***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.7953	6.07***
α ARCH Response to squared shocks	0.0970	8.23***
β GARCH Volatility persistence	0.8658	40.40***

γ₁	0.0203	3.26***
γ₂	-0.0311	-3.52***
γ₃	0.0333	5.45***

V-Lab

Warehouses De Pauw CVA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Warehouses De Pauw CVA Analyses