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	51
αARCH	0.4027	3.65***
βGARCH	0.4557	12.24***
γleverage	0.2830	1.78*
λ₁tau intercept	9.9987	0.00
λ₂forecast adj.	0.0700	2.66***
λ₃tau persistence	0.9300	38.79***

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.4027	3.65***
β GARCH Volatility persistence	0.4557	12.24***
γ leverage Additional response to negative shocks	0.2830	1.78*
λ₁ tau intercept Baseline long-term coefficient	9.9987	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0700	2.66***
λ₃ tau persistence Long-term factor persistence	0.9300	38.79***

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CVC INCOME & GROWTH LTD ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CVC INCOME & GROWTH LTD Analyses