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	126
αARCH	0.5892	3.14***
βGARCH	0.0000	0.01
γleverage	0.5000	1.37
λ₁tau intercept	10.0000	0.06
λ₂forecast adj.	0.0000	0.05
λ₃tau persistence	0.9984	165.68***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.5892	3.14***
β GARCH Volatility persistence	0.0000	0.01
γ leverage Additional response to negative shocks	0.5000	1.37
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.05
λ₃ tau persistence Long-term factor persistence	0.9984	165.68***

V-Lab

FMB Capital Holdings PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other FMB Capital Holdings PLC Analyses