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	0.1166	13.43***
βGARCH	0.8748	104.48***
γleverage	0.0047	1.00
λ₁tau intercept	14,582.8433

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1166	13.43***
β GARCH Volatility persistence	0.8748	104.48***
γ leverage Additional response to negative shocks	0.0047	1.00
λ₁ tau intercept Baseline long-term coefficient	14,582.8433

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Hapag-Lloyd Aktiengesellschaft ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hapag-Lloyd Aktiengesellschaft Analyses