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	0.0859	8.64***
β GARCH Volatility persistence	0.8885	60.77***
γ leverage Additional response to negative shocks	0.0362	2.61***
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.56
λ₂ forecast adj. Forecast performance sensitivity	0.5821	16.17***
λ₃ tau persistence Long-term factor persistence	0.4179	11.76***

V-Lab

Beyond Meat Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Beyond Meat Inc Analyses