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	46
αARCH	0.2897	2.12**
βGARCH	0.7940	10.78***
γleverage	-0.2897	-1.22
λ₁tau intercept	2.3906	0.38
λ₂forecast adj.	0.0006	0.03
λ₃tau persistence	0.9897	32.82***

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.2897	2.12**
β GARCH Volatility persistence	0.7940	10.78***
γ leverage Additional response to negative shocks	-0.2897	-1.22
λ₁ tau intercept Baseline long-term coefficient	2.3906	0.38
λ₂ forecast adj. Forecast performance sensitivity	0.0006	0.03
λ₃ tau persistence Long-term factor persistence	0.9897	32.82***

V-Lab

Al EZZ Ceramics and Porcelain Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Al EZZ Ceramics and Porcelain Co Analyses