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	0.0832	4.20***
βGARCH	0.9086	57.59***
γleverage	-0.0832	-1.33
λ₁tau intercept	0.0000	0.00
λ₂forecast adj.	0.0134	1.18
λ₃tau persistence	0.9855	88.16***

Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.0832	4.20***
β GARCH Volatility persistence	0.9086	57.59***
γ leverage Additional response to negative shocks	-0.0832	-1.33
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0134	1.18
λ₃ tau persistence Long-term factor persistence	0.9855	88.16***

V-Lab

MCAN Mortgage Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MCAN Mortgage Corp Analyses