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
αARCH	0.1587	6.68***
βGARCH	0.7351	19.99***
γleverage	0.0689	5.47***
λ₁tau intercept	8,294.9636

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1587	6.68***
β GARCH Volatility persistence	0.7351	19.99***
γ leverage Additional response to negative shocks	0.0689	5.47***
λ₁ tau intercept Baseline long-term coefficient	8,294.9636

V-Lab

FB Bancorp Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other FB Bancorp Inc Analyses