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	106
αARCH	0.1917	14.43***
βGARCH	0.8210	74.53***
γleverage	-0.1917	-12.10***
λ₁tau intercept	3.2720	1.44
λ₂forecast adj.	0.1057	0.19
λ₃tau persistence	0.0000	0.06

Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.1917	14.43***
β GARCH Volatility persistence	0.8210	74.53***
γ leverage Additional response to negative shocks	-0.1917	-12.10***
λ₁ tau intercept Baseline long-term coefficient	3.2720	1.44
λ₂ forecast adj. Forecast performance sensitivity	0.1057	0.19
λ₃ tau persistence Long-term factor persistence	0.0000	0.06

V-Lab

Raccoon Holdings Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Raccoon Holdings Inc Analyses