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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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0754	10.02***
β GARCH Volatility persistence	0.9213	118.27***
γ leverage Additional response to negative shocks	-0.0754	-8.73***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.45
λ₂ forecast adj. Forecast performance sensitivity	0.9435	13.99***
λ₃ tau persistence Long-term factor persistence	0.0565	7.75***

V-Lab

Idorsia Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Idorsia Ltd Analyses