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	36
αARCH	0.1553	5.97***
βGARCH	0.6406	15.88***
γleverage	0.4082	10.03***
λ₁tau intercept	8.3294	0.12
λ₂forecast adj.	1.0000	15.39***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1553	5.97***
β GARCH Volatility persistence	0.6406	15.88***
γ leverage Additional response to negative shocks	0.4082	10.03***
λ₁ tau intercept Baseline long-term coefficient	8.3294	0.12
λ₂ forecast adj. Forecast performance sensitivity	1.0000	15.39***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Aurelius Technologies Berhad ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Aurelius Technologies Berhad Analyses