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	5.0000	0.00
αARCH	0.0151	1.99**
βGARCH	0.9888	297.91***
γleverage	-0.0076	-0.96

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.00
α ARCH Response to squared shocks	0.0151	1.99**
β GARCH Volatility persistence	0.9888	297.91***
γ leverage Additional response to negative shocks	-0.0076	-0.96

V-Lab

MCR SA Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MCR SA Analyses