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	26
αARCH	0.2361	17.03***
βGARCH	0.7453	25.04***
γleverage	0.0341	0.90
λ₁tau intercept	10.0000	1.20
λ₂forecast adj.	0.3746	3.24***
λ₃tau persistence	0.6254	5.54***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2361	17.03***
β GARCH Volatility persistence	0.7453	25.04***
γ leverage Additional response to negative shocks	0.0341	0.90
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.20
λ₂ forecast adj. Forecast performance sensitivity	0.3746	3.24***
λ₃ tau persistence Long-term factor persistence	0.6254	5.54***

V-Lab

Kuk Young G&M Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kuk Young G&M Co Ltd Analyses