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
α ARCH Response to squared shocks	0.2746	7.53***
β GARCH Volatility persistence	0.5712	13.78***
γ leverage Additional response to negative shocks	0.0088	0.28
λ₁ tau intercept Baseline long-term coefficient	4,257.7595

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Creative Graphics Solutions ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Creative Graphics Solutions Analyses