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	41
αARCH	0.0981	2.14**
βGARCH	0.7081	8.06***
γleverage	-0.0981	-2.08**
λ₁tau intercept	10.0000	0.18
λ₂forecast adj.	0.1029	3.44***
λ₃tau persistence	0.8971	44.14***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0981	2.14**
β GARCH Volatility persistence	0.7081	8.06***
γ leverage Additional response to negative shocks	-0.0981	-2.08**
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.1029	3.44***
λ₃ tau persistence Long-term factor persistence	0.8971	44.14***

V-Lab

Centuria Capital Group ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Centuria Capital Group Analyses