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
αARCH	0.0443	6.15***
βGARCH	0.9452	80.90***
γleverage	-0.0001	-0.02
λ₁tau intercept	12,151.6472

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0443	6.15***
β GARCH Volatility persistence	0.9452	80.90***
γ leverage Additional response to negative shocks	-0.0001	-0.02
λ₁ tau intercept Baseline long-term coefficient	12,151.6472

V-Lab

Kilima FIC FII Suno30 ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kilima FIC FII Suno30 Analyses