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	1.1192	1.83*
αARCH	0.6768	3.89***
βGARCH	0.3118	1.91*

γ₁	1.5627	0.99
γ₂	-6.8511	-3.03***
γ₃	10.5364	5.56***
γ₄	-8.6851	-2.19**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1192	1.83*
α ARCH Response to squared shocks	0.6768	3.89***
β GARCH Volatility persistence	0.3118	1.91*

γ₁	1.5627	0.99
γ₂	-6.8511	-3.03***
γ₃	10.5364	5.56***
γ₄	-8.6851	-2.19**

V-Lab

LQR House Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other LQR House Inc Analyses