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	36
α ARCH Response to squared shocks	0.1448	14.41***
β GARCH Volatility persistence	0.8193	72.27***
γ leverage Additional response to negative shocks	-0.1448	-4.48***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.10
λ₂ forecast adj. Forecast performance sensitivity	0.7152	20.72***
λ₃ tau persistence Long-term factor persistence	0.2848	8.67***

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Neostellar Capital Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Neostellar Capital Corp Analyses