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	71
αARCH	0.2548	5.97***
βGARCH	0.8034	26.70***
γleverage	-0.2548	-3.78***
λ₁tau intercept	0.0224	0.03
λ₂forecast adj.	0.0344	0.87
λ₃tau persistence	0.9656	41.40***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.2548	5.97***
β GARCH Volatility persistence	0.8034	26.70***
γ leverage Additional response to negative shocks	-0.2548	-3.78***
λ₁ tau intercept Baseline long-term coefficient	0.0224	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.0344	0.87
λ₃ tau persistence Long-term factor persistence	0.9656	41.40***

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Continental Aerospace Technologies Holding Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Continental Aerospace Technologies Holding Ltd Analyses