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
αARCH	0.2222	24.68***
βGARCH	0.8548	208.84***
γleverage	-0.2222	-16.01***
λ₁tau intercept	3,433.8086

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.2222	24.68***
β GARCH Volatility persistence	0.8548	208.84***
γ leverage Additional response to negative shocks	-0.2222	-16.01***
λ₁ tau intercept Baseline long-term coefficient	3,433.8086

V-Lab

CIDI Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CIDI Inc Analyses