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	0.2000	7.86***
βGARCH	0.7431	23.51***
γleverage	-0.0333	-1.93*
λ₁tau intercept	1,664.1505

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.2000	7.86***
β GARCH Volatility persistence	0.7431	23.51***
γ leverage Additional response to negative shocks	-0.0333	-1.93*
λ₁ tau intercept Baseline long-term coefficient	1,664.1505

V-Lab

Lumi Rental Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Lumi Rental Co Analyses