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	121
αARCH	0.0047	0.01
βGARCH	0.7797	768.13***
γleverage	0.4314	0.48
λ₁tau intercept	8.2137	0.00
λ₂forecast adj.	0.9979	0.01
λ₃tau persistence	0.0021	0.00

Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.0047	0.01
β GARCH Volatility persistence	0.7797	768.13***
γ leverage Additional response to negative shocks	0.4314	0.48
λ₁ tau intercept Baseline long-term coefficient	8.2137	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.9979	0.01
λ₃ tau persistence Long-term factor persistence	0.0021	0.00

V-Lab

MSC Income Fund Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MSC Income Fund Inc Analyses