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	21
αARCH	0.0954	9.44***
βGARCH	0.7942	27.63***
γleverage	-0.0954	-4.22***
λ₁tau intercept	8.8146	1.61
λ₂forecast adj.	0.0912	4.72***
λ₃tau persistence	0.9072	46.41***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0954	9.44***
β GARCH Volatility persistence	0.7942	27.63***
γ leverage Additional response to negative shocks	-0.0954	-4.22***
λ₁ tau intercept Baseline long-term coefficient	8.8146	1.61
λ₂ forecast adj. Forecast performance sensitivity	0.0912	4.72***
λ₃ tau persistence Long-term factor persistence	0.9072	46.41***

V-Lab

L1 Group Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other L1 Group Ltd Analyses