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	3.8022	6.11***
αARCH	0.0973	8.23***
βGARCH	0.8650	40.14***

γ₁	0.0207	3.32***
γ₂	-0.0318	-3.60***
γ₃	0.0340	5.57***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.8022	6.11***
α ARCH Response to squared shocks	0.0973	8.23***
β GARCH Volatility persistence	0.8650	40.14***

γ₁	0.0207	3.32***
γ₂	-0.0318	-3.60***
γ₃	0.0340	5.57***

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