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	116
αARCH	0.0412	6.91***
βGARCH	0.9577	140.78***
γleverage	-0.0335	-4.80***
λ₁tau intercept	0.0000	0.00
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9990	453.86***

Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.0412	6.91***
β GARCH Volatility persistence	0.9577	140.78***
γ leverage Additional response to negative shocks	-0.0335	-4.80***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9990	453.86***

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Create Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Create Corp Analyses