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	0.0000	0.00
βGARCH	0.0000	0.00
γleverage	0.0402	0.07
λ₁tau intercept	9.9910	0.73
λ₂forecast adj.	0.1298	2.09**
λ₃tau persistence	0.8702	16.31***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.0402	0.07
λ₁ tau intercept Baseline long-term coefficient	9.9910	0.73
λ₂ forecast adj. Forecast performance sensitivity	0.1298	2.09**
λ₃ tau persistence Long-term factor persistence	0.8702	16.31***

V-Lab

D P Wires Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other D P Wires Ltd Analyses