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	1.2618	3.71***
αARCH	0.6114	3.74***
βGARCH	0.3875	2.37**

γ₁	-2.9306	-4.75***
γ₂	4.9964	5.15***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2618	3.71***
α ARCH Response to squared shocks	0.6114	3.74***
β GARCH Volatility persistence	0.3875	2.37**

γ₁	-2.9306	-4.75***
γ₂	4.9964	5.15***

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LQR House Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other LQR House Inc Analyses