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	46
αARCH	0.2013	12.45***
βGARCH	0.7595	41.61***
γleverage	-0.2013	-8.03***
λ₁tau intercept	10.0000	0.43
λ₂forecast adj.	0.9644	32.84***
λ₃tau persistence	0.0356	6.80***

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.2013	12.45***
β GARCH Volatility persistence	0.7595	41.61***
γ leverage Additional response to negative shocks	-0.2013	-8.03***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.43
λ₂ forecast adj. Forecast performance sensitivity	0.9644	32.84***
λ₃ tau persistence Long-term factor persistence	0.0356	6.80***

V-Lab

Manaksia Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Manaksia Ltd Analyses