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
ωconst	1.7654	7.35***
αARCH	0.1024	12.20***
βGARCH	0.8732	88.19***

γ₁	-0.0660	-4.94***
γ₂	0.1254	6.16***
γ₃	-0.1188	-8.21***
γ₄	0.1152	7.93***
γ₅	-0.1302	-6.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7654	7.35***
α ARCH Response to squared shocks	0.1024	12.20***
β GARCH Volatility persistence	0.8732	88.19***

γ₁	-0.0660	-4.94***
γ₂	0.1254	6.16***
γ₃	-0.1188	-8.21***
γ₄	0.1152	7.93***
γ₅	-0.1302	-6.93***

V-Lab

L1 Global Long Short Fund Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other L1 Global Long Short Fund Ltd Analyses