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	0.2091	9.76***
βGARCH	0.7896	48.37***
γleverage	-0.0361	-1.72*
λ₁tau intercept	6,635.9905

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.2091	9.76***
β GARCH Volatility persistence	0.7896	48.37***
γ leverage Additional response to negative shocks	-0.0361	-1.72*
λ₁ tau intercept Baseline long-term coefficient	6,635.9905

V-Lab

Crg Holdings Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Crg Holdings Co Ltd Analyses