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	1.1002	1.60
αARCH	0.6848	3.90***
βGARCH	0.3013	1.89*

γ₁	2.2182	1.41
γ₂	-8.1572	-3.63***
γ₃	12.2317	6.89***
γ₄	-12.8703	-3.69***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1002	1.60
α ARCH Response to squared shocks	0.6848	3.90***
β GARCH Volatility persistence	0.3013	1.89*

γ₁	2.2182	1.41
γ₂	-8.1572	-3.63***
γ₃	12.2317	6.89***
γ₄	-12.8703	-3.69***

V-Lab

LQR House Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other LQR House Inc Analyses