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	2.1167	5.58***
αARCH	0.1313	2.29**
βGARCH	0.7091	4.90***

γ₁	0.1649	0.96
γ₂	-0.3019	-1.06
γ₃	0.3647	1.40
γ₄	-0.3815	-1.21
γ₅	0.1749	0.56
γ₆	-0.2625	-1.02
γ₇	0.9120	4.36***
γ₈	-1.3860	-5.77***
γ₉	1.1919	3.75***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1167	5.58***
α ARCH Response to squared shocks	0.1313	2.29**
β GARCH Volatility persistence	0.7091	4.90***

γ₁	0.1649	0.96
γ₂	-0.3019	-1.06
γ₃	0.3647	1.40
γ₄	-0.3815	-1.21
γ₅	0.1749	0.56
γ₆	-0.2625	-1.02
γ₇	0.9120	4.36***
γ₈	-1.3860	-5.77***
γ₉	1.1919	3.75***

V-Lab

Marlin Global Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Marlin Global Ltd Analyses