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How volatility evolves over time

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{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	0.0947	1.90*
αARCH	1.3034	0.91
βGARCH	0.0994	0.39
γleverage	-0.8056	-0.36

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0947	1.90*
α ARCH Response to squared shocks	1.3034	0.91
β GARCH Volatility persistence	0.0994	0.39
γ leverage Additional response to negative shocks	-0.8056	-0.36

V-Lab

Pasqal Holding SA Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pasqal Holding SA Analyses