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	126
αARCH	0.0271	1.34
βGARCH	0.9830	128.34***
γleverage	-0.0202	-0.73
λ₁tau intercept	4.7624	0.00
λ₂forecast adj.	0.0011	0.08
λ₃tau persistence	0.9989	29.35***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0271	1.34
β GARCH Volatility persistence	0.9830	128.34***
γ leverage Additional response to negative shocks	-0.0202	-0.73
λ₁ tau intercept Baseline long-term coefficient	4.7624	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0011	0.08
λ₃ tau persistence Long-term factor persistence	0.9989	29.35***

V-Lab

Katana Capital Ltd/Fund ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Katana Capital Ltd/Fund Analyses