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	0.5712	7.15***
αARCH	0.1278	5.50***
βGARCH	0.8113	27.02***

γ₁	-0.3525	-8.50***
γ₂	0.4560	7.60***
γ₃	-0.1050	-3.40***
γ₄	-0.0029	-0.12
γ₅	-0.0056	-0.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5712	7.15***
α ARCH Response to squared shocks	0.1278	5.50***
β GARCH Volatility persistence	0.8113	27.02***

γ₁	-0.3525	-8.50***
γ₂	0.4560	7.60***
γ₃	-0.1050	-3.40***
γ₄	-0.0029	-0.12
γ₅	-0.0056	-0.16

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