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	86
αARCH	0.0369	6.16***
βGARCH	0.3805	2.46**
γleverage	-0.0369	-2.12**
λ₁tau intercept	10.0000	2.52**
λ₂forecast adj.	0.0882	8.92***
λ₃tau persistence	0.8236	31.94***

Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0369	6.16***
β GARCH Volatility persistence	0.3805	2.46**
γ leverage Additional response to negative shocks	-0.0369	-2.12**
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.52**
λ₂ forecast adj. Forecast performance sensitivity	0.0882	8.92***
λ₃ tau persistence Long-term factor persistence	0.8236	31.94***

V-Lab

Pell Bio-Med Technology Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pell Bio-Med Technology Co Analyses