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	111
αARCH	0.1365	11.79***
βGARCH	0.8720	99.82***
γleverage	-0.0248	-1.77*
λ₁tau intercept	7.0495	0.07
λ₂forecast adj.	0.0412	2.84***
λ₃tau persistence	0.9588	69.81***

Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.1365	11.79***
β GARCH Volatility persistence	0.8720	99.82***
γ leverage Additional response to negative shocks	-0.0248	-1.77*
λ₁ tau intercept Baseline long-term coefficient	7.0495	0.07
λ₂ forecast adj. Forecast performance sensitivity	0.0412	2.84***
λ₃ tau persistence Long-term factor persistence	0.9588	69.81***

V-Lab

Mega First Corp Bhd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mega First Corp Bhd Analyses