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
αARCH	0.0167	1.41
βGARCH	0.9639	30.51***
γleverage	-0.0132	-1.02
λ₁tau intercept	128,152,142.3536

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0167	1.41
β GARCH Volatility persistence	0.9639	30.51***
γ leverage Additional response to negative shocks	-0.0132	-1.02
λ₁ tau intercept Baseline long-term coefficient	128,152,142.3536

V-Lab

VIB Vermoegen AG ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other VIB Vermoegen AG Analyses