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	21
αARCH	0.2091	9.47***
βGARCH	0.6277	16.04***
γleverage	-0.0670	-1.14
λ₁tau intercept	9.4296	1.66*
λ₂forecast adj.	0.3505	3.23***
λ₃tau persistence	0.6495	5.99***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2091	9.47***
β GARCH Volatility persistence	0.6277	16.04***
γ leverage Additional response to negative shocks	-0.0670	-1.14
λ₁ tau intercept Baseline long-term coefficient	9.4296	1.66*
λ₂ forecast adj. Forecast performance sensitivity	0.3505	3.23***
λ₃ tau persistence Long-term factor persistence	0.6495	5.99***

V-Lab

Logan Group Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Logan Group Co Ltd Analyses