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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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1455	11.11***
β GARCH Volatility persistence	0.7872	38.33***
γ leverage Additional response to negative shocks	-0.1455	-4.59***
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.23
λ₂ forecast adj. Forecast performance sensitivity	0.0845	5.52***
λ₃ tau persistence Long-term factor persistence	0.9155	62.60***

V-Lab

Yutaka Trusty Securities Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yutaka Trusty Securities Co Analyses