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
αARCH	0.1866	9.51***
βGARCH	0.8072	63.33***
γleverage	0.0012	0.05
λ₁tau intercept	77,665.7675

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1866	9.51***
β GARCH Volatility persistence	0.8072	63.33***
γ leverage Additional response to negative shocks	0.0012	0.05
λ₁ tau intercept Baseline long-term coefficient	77,665.7675

V-Lab

Mekdam Holding Group W.L.L ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mekdam Holding Group W.L.L Analyses