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	0.4179	19.55***
βGARCH	0.5753	91.15***
γleverage	0.0133	0.40
λ₁tau intercept	2,532,099.6968

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.4179	19.55***
β GARCH Volatility persistence	0.5753	91.15***
γ leverage Additional response to negative shocks	0.0133	0.40
λ₁ tau intercept Baseline long-term coefficient	2,532,099.6968

V-Lab

Taiwan Auto-Design Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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