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
ωconst	5.0101	3.84***
αARCH	0.2469	7.13***
βGARCH	0.7513	21.57***

γ₁	0.1415	0.89
γ₂	0.1205	0.55
γ₃	-0.4802	-2.30**
γ₄	-0.3928	-1.16
γ₅	1.6724	5.12***
γ₆	-2.5049	-8.05***
γ₇	3.5677	8.75***
γ₈	-4.1118	-10.38***
γ₉	3.8525	9.19***

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0101	3.84***
α ARCH Response to squared shocks	0.2469	7.13***
β GARCH Volatility persistence	0.7513	21.57***

γ₁	0.1415	0.89
γ₂	0.1205	0.55
γ₃	-0.4802	-2.30**
γ₄	-0.3928	-1.16
γ₅	1.6724	5.12***
γ₆	-2.5049	-8.05***
γ₇	3.5677	8.75***
γ₈	-4.1118	-10.38***
γ₉	3.8525	9.19***

V-Lab

Malee Group PCL Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Malee Group PCL Analyses