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	81
αARCH	0.0775	1.25
βGARCH	0.3920	9.49***
γleverage	0.5000	4.77***
λ₁tau intercept	9.6527	0.02
λ₂forecast adj.	1.0000	12.05***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0775	1.25
β GARCH Volatility persistence	0.3920	9.49***
γ leverage Additional response to negative shocks	0.5000	4.77***
λ₁ tau intercept Baseline long-term coefficient	9.6527	0.02
λ₂ forecast adj. Forecast performance sensitivity	1.0000	12.05***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Chesnara plc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Chesnara plc Analyses