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	4.0032	2.96***
αARCH	0.0783	6.30***
βGARCH	0.8834	47.35***

γ₁	0.3386	4.95***
γ₂	-0.6142	-6.04***
γ₃	0.4646	4.51***
γ₄	-0.3368	-3.69***
γ₅	0.2534	3.71***
γ₆	-0.1259	-2.36**
γ₇	0.0324	0.70
γ₈	-0.0210	-0.52
γ₉	-0.0703	-1.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.0032	2.96***
α ARCH Response to squared shocks	0.0783	6.30***
β GARCH Volatility persistence	0.8834	47.35***

γ₁	0.3386	4.95***
γ₂	-0.6142	-6.04***
γ₃	0.4646	4.51***
γ₄	-0.3368	-3.69***
γ₅	0.2534	3.71***
γ₆	-0.1259	-2.36**
γ₇	0.0324	0.70
γ₈	-0.0210	-0.52
γ₉	-0.0703	-1.31

V-Lab

MCAN Mortgage Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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