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	3.1520	2.41**
αARCH	0.3169	4.60***
βGARCH	0.4134	3.24***

γ₁	7.6978	1.31
γ₂	-6.9150	-0.71
γ₃	-6.0547	-0.75
γ₄	-2.8715	-0.35
γ₅	25.3003	3.71***
γ₆	-27.8370	-6.10***
γ₇	21.5265	5.52***
γ₈	-28.5552	-6.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.1520	2.41**
α ARCH Response to squared shocks	0.3169	4.60***
β GARCH Volatility persistence	0.4134	3.24***

γ₁	7.6978	1.31
γ₂	-6.9150	-0.71
γ₃	-6.0547	-0.75
γ₄	-2.8715	-0.35
γ₅	25.3003	3.71***
γ₆	-27.8370	-6.10***
γ₇	21.5265	5.52***
γ₈	-28.5552	-6.63***

V-Lab

Worth Investment & Trading Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Worth Investment & Trading Analyses