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	0.3679	1.06
βGARCH	0.0000	0.00
γleverage	0.4944	0.80
λ₁tau intercept	9.2209	1.08
λ₂forecast adj.	0.7148	1.07
λ₃tau persistence	0.2852	0.48

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.3679	1.06
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.4944	0.80
λ₁ tau intercept Baseline long-term coefficient	9.2209	1.08
λ₂ forecast adj. Forecast performance sensitivity	0.7148	1.07
λ₃ tau persistence Long-term factor persistence	0.2852	0.48

V-Lab

Epiroc Ab ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Epiroc Ab Analyses