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
ωconst	0.9766	3.32***
αARCH	0.1933	5.00***
βGARCH	0.7487	15.38***

γ₁	-4.7321	-3.94***
γ₂	6.4110	3.75***
γ₃	-1.2160	-1.34
γ₄	-1.3130	-1.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9766	3.32***
α ARCH Response to squared shocks	0.1933	5.00***
β GARCH Volatility persistence	0.7487	15.38***

γ₁	-4.7321	-3.94***
γ₂	6.4110	3.75***
γ₃	-1.2160	-1.34
γ₄	-1.3130	-1.38

V-Lab

Life360, Inc. Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Life360, Inc. Analyses