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	21
αARCH	0.0249	1.58
βGARCH	0.0000	0.00
γleverage	-0.0249	-0.72
λ₁tau intercept	10.0000	2.42**
λ₂forecast adj.	1.0000	13.81***
λ₃tau persistence	0.0000	0.03

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0249	1.58
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.0249	-0.72
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.42**
λ₂ forecast adj. Forecast performance sensitivity	1.0000	13.81***
λ₃ tau persistence Long-term factor persistence	0.0000	0.03

V-Lab

Ai Partners Financial Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ai Partners Financial Inc Analyses