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	0.5656	7.03***
αARCH	0.1287	5.51***
βGARCH	0.8103	26.91***

γ₁	-0.3577	-8.42***
γ₂	0.4614	7.53***
γ₃	-0.1043	-3.31***
γ₄	-0.0030	-0.12
γ₅	-0.0088	-0.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5656	7.03***
α ARCH Response to squared shocks	0.1287	5.51***
β GARCH Volatility persistence	0.8103	26.91***

γ₁	-0.3577	-8.42***
γ₂	0.4614	7.53***
γ₃	-0.1043	-3.31***
γ₄	-0.0030	-0.12
γ₅	-0.0088	-0.24

V-Lab

MFF Capital Investments Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MFF Capital Investments Ltd Analyses