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	0.4312	3.49***
βGARCH	0.2646	2.19**
γleverage	-0.1335	-0.50
λ₁tau intercept	5.3354	1.04
λ₂forecast adj.	0.3220	1.80*
λ₃tau persistence	0.6780	4.19***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.4312	3.49***
β GARCH Volatility persistence	0.2646	2.19**
γ leverage Additional response to negative shocks	-0.1335	-0.50
λ₁ tau intercept Baseline long-term coefficient	5.3354	1.04
λ₂ forecast adj. Forecast performance sensitivity	0.3220	1.80*
λ₃ tau persistence Long-term factor persistence	0.6780	4.19***

V-Lab

Ubion Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ubion Co Ltd Analyses