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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Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.1520	1.86*
β GARCH Volatility persistence	0.9014	23.00***
γ leverage Additional response to negative shocks	-0.1091	-1.15
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.29
λ₂ forecast adj. Forecast performance sensitivity	0.0003	3.13***
λ₃ tau persistence Long-term factor persistence	0.1432	17.43***

V-Lab

Nrc Group Asa ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nrc Group Asa Analyses