How volatility evolves over time

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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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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0941	9.57***
β GARCH Volatility persistence	0.8782	93.51***
γ leverage Additional response to negative shocks	0.0296	5.19***
λ₁ tau intercept Baseline long-term coefficient	21,098.0587

V-Lab

LC Logistics Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other LC Logistics Inc Analyses