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	21
αARCH	1.0000	0.50
βGARCH	0.2450	0.97
γleverage	-0.5000	-0.14
λ₁tau intercept	0.1473	0.00
λ₂forecast adj.	0.1839	0.70
λ₃tau persistence	0.8161	4.58***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	1.0000	0.50
β GARCH Volatility persistence	0.2450	0.97
γ leverage Additional response to negative shocks	-0.5000	-0.14
λ₁ tau intercept Baseline long-term coefficient	0.1473	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.1839	0.70
λ₃ tau persistence Long-term factor persistence	0.8161	4.58***

V-Lab

Naos Emerging Opportunities Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Naos Emerging Opportunities Co Ltd Analyses