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	66
αARCH	0.0126	1.42
βGARCH	0.4007	11.74***
γleverage	0.1006	12.66***
λ₁tau intercept	0.4672	3.16***
λ₂forecast adj.	1.0000	4.71***
λ₃tau persistence	0.0000

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0126	1.42
β GARCH Volatility persistence	0.4007	11.74***
γ leverage Additional response to negative shocks	0.1006	12.66***
λ₁ tau intercept Baseline long-term coefficient	0.4672	3.16***
λ₂ forecast adj. Forecast performance sensitivity	1.0000	4.71***
λ₃ tau persistence Long-term factor persistence	0.0000

V-Lab

CEPS PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CEPS PLC Analyses