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	51
αARCH	0.0625	6.89***
βGARCH	0.8786	46.69***
γleverage	-0.0625	-6.99***
λ₁tau intercept	1.2208	2.71***
λ₂forecast adj.	0.4262	13.83***
λ₃tau persistence	0.5136	12.70***

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0625	6.89***
β GARCH Volatility persistence	0.8786	46.69***
γ leverage Additional response to negative shocks	-0.0625	-6.99***
λ₁ tau intercept Baseline long-term coefficient	1.2208	2.71***
λ₂ forecast adj. Forecast performance sensitivity	0.4262	13.83***
λ₃ tau persistence Long-term factor persistence	0.5136	12.70***

V-Lab

General Motors Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other General Motors Co Analyses