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	0.1146	14.13***
βGARCH	0.8699	91.45***
γleverage	-0.1146	-1.83*
λ₁tau intercept	6.9667	0.97
λ₂forecast adj.	0.0171	1.86*
λ₃tau persistence	0.9816	98.67***

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1146	14.13***
β GARCH Volatility persistence	0.8699	91.45***
γ leverage Additional response to negative shocks	-0.1146	-1.83*
λ₁ tau intercept Baseline long-term coefficient	6.9667	0.97
λ₂ forecast adj. Forecast performance sensitivity	0.0171	1.86*
λ₃ tau persistence Long-term factor persistence	0.9816	98.67***

V-Lab

Intershop Holding AG ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Intershop Holding AG Analyses