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	0.1669	4.30***
βGARCH	0.0000	0.05
γleverage	-0.1669	-114.48***
λ₁tau intercept	10.0000	6.42***
λ₂forecast adj.	1.0000	15.47***
λ₃tau persistence	0.0000	0.24

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1669	4.30***
β GARCH Volatility persistence	0.0000	0.05
γ leverage Additional response to negative shocks	-0.1669	-114.48***
λ₁ tau intercept Baseline long-term coefficient	10.0000	6.42***
λ₂ forecast adj. Forecast performance sensitivity	1.0000	15.47***
λ₃ tau persistence Long-term factor persistence	0.0000	0.24

V-Lab

CWD Limited ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CWD Limited Analyses