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	1.7826	7.35***
αARCH	0.1023	12.26***
βGARCH	0.8740	89.17***

γ₁	-0.0646	-4.83***
γ₂	0.1230	6.02***
γ₃	-0.1170	-8.01***
γ₄	0.1145	7.72***
γ₅	-0.1337	-6.95***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7826	7.35***
α ARCH Response to squared shocks	0.1023	12.26***
β GARCH Volatility persistence	0.8740	89.17***

γ₁	-0.0646	-4.83***
γ₂	0.1230	6.02***
γ₃	-0.1170	-8.01***
γ₄	0.1145	7.72***
γ₅	-0.1337	-6.95***

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