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	21
αARCH	0.1104	8.76***
βGARCH	0.7188	18.38***
γleverage	-0.1104	-3.38***
λ₁tau intercept	4.7777	1.98**
λ₂forecast adj.	0.0807	4.93***
λ₃tau persistence	0.9162	53.71***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1104	8.76***
β GARCH Volatility persistence	0.7188	18.38***
γ leverage Additional response to negative shocks	-0.1104	-3.38***
λ₁ tau intercept Baseline long-term coefficient	4.7777	1.98**
λ₂ forecast adj. Forecast performance sensitivity	0.0807	4.93***
λ₃ tau persistence Long-term factor persistence	0.9162	53.71***

V-Lab

Covivio ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Covivio Analyses