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	31
αARCH	0.0891	13.33***
βGARCH	0.8600	66.26***
γleverage	-0.0891	-1.67*
λ₁tau intercept	2.1041	2.23**
λ₂forecast adj.	0.0525	3.29***
λ₃tau persistence	0.9441	56.06***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0891	13.33***
β GARCH Volatility persistence	0.8600	66.26***
γ leverage Additional response to negative shocks	-0.0891	-1.67*
λ₁ tau intercept Baseline long-term coefficient	2.1041	2.23**
λ₂ forecast adj. Forecast performance sensitivity	0.0525	3.29***
λ₃ tau persistence Long-term factor persistence	0.9441	56.06***

V-Lab

Compass Minerals International Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Compass Minerals International Inc Analyses