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	36
αARCH	0.1635	14.20***
βGARCH	0.7809	74.47***
γleverage	0.1107	6.93***
λ₁tau intercept	5.9510	0.03
λ₂forecast adj.	0.5112	4.51***
λ₃tau persistence	0.4888	4.39***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1635	14.20***
β GARCH Volatility persistence	0.7809	74.47***
γ leverage Additional response to negative shocks	0.1107	6.93***
λ₁ tau intercept Baseline long-term coefficient	5.9510	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.5112	4.51***
λ₃ tau persistence Long-term factor persistence	0.4888	4.39***

V-Lab

Arich Enterprise Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Arich Enterprise Co Ltd Analyses