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	116
α ARCH Response to squared shocks	0.1875	20.51***
β GARCH Volatility persistence	0.8351	704.11***
γ leverage Additional response to negative shocks	-0.0452	-2.72***
λ₁ tau intercept Baseline long-term coefficient	9.7584	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0131	0.29
λ₃ tau persistence Long-term factor persistence	0.9869	24.66***

V-Lab

India Glycol ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other India Glycol Analyses