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	0.3716	1.06
βGARCH	0.0000	0.00
γleverage	0.3988	0.64
λ₁tau intercept	8.2704	1.10
λ₂forecast adj.	0.7153	1.10
λ₃tau persistence	0.2847	0.50

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.3716	1.06
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.3988	0.64
λ₁ tau intercept Baseline long-term coefficient	8.2704	1.10
λ₂ forecast adj. Forecast performance sensitivity	0.7153	1.10
λ₃ tau persistence Long-term factor persistence	0.2847	0.50

V-Lab

Epiroc Ab ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Epiroc Ab Analyses