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	101
αARCH	0.1003	10.14***
βGARCH	0.8915	79.82***
γleverage	-0.1003	-10.08***
λ₁tau intercept	9.7219	2.81***
λ₂forecast adj.	0.0083	1.29
λ₃tau persistence	0.9823	153.49***

Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.1003	10.14***
β GARCH Volatility persistence	0.8915	79.82***
γ leverage Additional response to negative shocks	-0.1003	-10.08***
λ₁ tau intercept Baseline long-term coefficient	9.7219	2.81***
λ₂ forecast adj. Forecast performance sensitivity	0.0083	1.29
λ₃ tau persistence Long-term factor persistence	0.9823	153.49***

V-Lab

Bulten AB ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bulten AB Analyses