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	21
αARCH	0.2181	9.75***
βGARCH	0.6654	19.38***
γleverage	0.0983	3.16***
λ₁tau intercept	1.3390	1.24
λ₂forecast adj.	0.1480	3.31***
λ₃tau persistence	0.8520	20.70***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2181	9.75***
β GARCH Volatility persistence	0.6654	19.38***
γ leverage Additional response to negative shocks	0.0983	3.16***
λ₁ tau intercept Baseline long-term coefficient	1.3390	1.24
λ₂ forecast adj. Forecast performance sensitivity	0.1480	3.31***
λ₃ tau persistence Long-term factor persistence	0.8520	20.70***

V-Lab

Dongil Metal Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dongil Metal Co Ltd Analyses