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	36
αARCH	0.0472	2.15**
βGARCH	0.9714	86.60***
γleverage	-0.0472	-1.33
λ₁tau intercept	0.0000	0.08
λ₂forecast adj.	0.3892	2.37**
λ₃tau persistence	0.3196	2.84***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0472	2.15**
β GARCH Volatility persistence	0.9714	86.60***
γ leverage Additional response to negative shocks	-0.0472	-1.33
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.08
λ₂ forecast adj. Forecast performance sensitivity	0.3892	2.37**
λ₃ tau persistence Long-term factor persistence	0.3196	2.84***

V-Lab

Nodestream Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nodestream Ltd Analyses