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	2.1239	5.57***
αARCH	0.1313	2.30**
βGARCH	0.7107	4.96***

γ₁	0.1667	0.97
γ₂	-0.3048	-1.07
γ₃	0.3670	1.42
γ₄	-0.3836	-1.22
γ₅	0.1720	0.55
γ₆	-0.2468	-0.96
γ₇	0.8879	4.28***
γ₈	-1.3698	-5.74***
γ₉	1.1798	3.71***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1239	5.57***
α ARCH Response to squared shocks	0.1313	2.30**
β GARCH Volatility persistence	0.7107	4.96***

γ₁	0.1667	0.97
γ₂	-0.3048	-1.07
γ₃	0.3670	1.42
γ₄	-0.3836	-1.22
γ₅	0.1720	0.55
γ₆	-0.2468	-0.96
γ₇	0.8879	4.28***
γ₈	-1.3698	-5.74***
γ₉	1.1798	3.71***

V-Lab

Marlin Global Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Marlin Global Ltd Analyses