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
mwindow	31
αARCH	0.1647	5.01***
βGARCH	0.7730	33.70***
γleverage	-0.1647	-3.25***
λ₁tau intercept	3.6531	0.61
λ₂forecast adj.	0.9986	7.16***
λ₃tau persistence	0.0014	0.47

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1647	5.01***
β GARCH Volatility persistence	0.7730	33.70***
γ leverage Additional response to negative shocks	-0.1647	-3.25***
λ₁ tau intercept Baseline long-term coefficient	3.6531	0.61
λ₂ forecast adj. Forecast performance sensitivity	0.9986	7.16***
λ₃ tau persistence Long-term factor persistence	0.0014	0.47

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Daewon Sanup Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Daewon Sanup Co Ltd Analyses