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	51
αARCH	0.3595	1.13
βGARCH	0.8152	26.37***
γleverage	-0.3595	-0.61
λ₁tau intercept	0.0000	0.02
λ₂forecast adj.	0.9220	2.38**
λ₃tau persistence	0.0780	0.51

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.3595	1.13
β GARCH Volatility persistence	0.8152	26.37***
γ leverage Additional response to negative shocks	-0.3595	-0.61
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.9220	2.38**
λ₃ tau persistence Long-term factor persistence	0.0780	0.51

V-Lab

Richmond Intl Travel & Tours ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Richmond Intl Travel & Tours Analyses