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	121
αARCH	0.4877	9.90***
βGARCH	0.3369	7.69***
γleverage	0.3503	3.79***
λ₁tau intercept	2.8652	0.00
λ₂forecast adj.	0.9472	7.38***
λ₃tau persistence	0.0528	0.73

Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.4877	9.90***
β GARCH Volatility persistence	0.3369	7.69***
γ leverage Additional response to negative shocks	0.3503	3.79***
λ₁ tau intercept Baseline long-term coefficient	2.8652	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.9472	7.38***
λ₃ tau persistence Long-term factor persistence	0.0528	0.73

V-Lab

Mehai Tchnlgy Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mehai Tchnlgy Ltd Analyses