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	0.5689	7.09***
αARCH	0.1283	5.51***
βGARCH	0.8108	26.99***

γ₁	-0.3547	-8.46***
γ₂	0.4582	7.56***
γ₃	-0.1042	-3.34***
γ₄	-0.0041	-0.16
γ₅	-0.0032	-0.09

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5689	7.09***
α ARCH Response to squared shocks	0.1283	5.51***
β GARCH Volatility persistence	0.8108	26.99***

γ₁	-0.3547	-8.46***
γ₂	0.4582	7.56***
γ₃	-0.1042	-3.34***
γ₄	-0.0041	-0.16
γ₅	-0.0032	-0.09

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