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	21
α ARCH Response to squared shocks	0.1912	10.42***
β GARCH Volatility persistence	0.6876	22.12***
γ leverage Additional response to negative shocks	-0.1912	-7.56***
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.35
λ₂ forecast adj. Forecast performance sensitivity	0.6283	9.99***
λ₃ tau persistence Long-term factor persistence	0.3717	6.18***

V-Lab

Lazurde Comp For Jewelry ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Lazurde Comp For Jewelry Analyses