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	56
αARCH	0.1033	1.61
βGARCH	0.9350	26.57***
γleverage	-0.0765	-1.08
λ₁tau intercept	1.0937	0.09
λ₂forecast adj.	0.9999	1.44
λ₃tau persistence	0.0001	1.05

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1033	1.61
β GARCH Volatility persistence	0.9350	26.57***
γ leverage Additional response to negative shocks	-0.0765	-1.08
λ₁ tau intercept Baseline long-term coefficient	1.0937	0.09
λ₂ forecast adj. Forecast performance sensitivity	0.9999	1.44
λ₃ tau persistence Long-term factor persistence	0.0001	1.05

V-Lab

Intl Conveyors Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Intl Conveyors Ltd Analyses