How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	126
αARCH	0.0285	7.38***
βGARCH	0.9848	91.32***
γleverage	-0.0285	-1.64
λ₁tau intercept	0.0000	0.05
λ₂forecast adj.	0.0000	0.01
λ₃tau persistence	0.9899	155.15***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0285	7.38***
β GARCH Volatility persistence	0.9848	91.32***
γ leverage Additional response to negative shocks	-0.0285	-1.64
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.05
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9899	155.15***

V-Lab

Eastern Insurance PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Eastern Insurance PLC Analyses