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	167.64***
βGARCH	0.0000	0.05
γleverage	-0.5000	-48.85***
λ₁tau intercept	0.0175	0.00
λ₂forecast adj.	0.9489	147.67***
λ₃tau persistence	0.0511	187.16***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	1.0000	167.64***
β GARCH Volatility persistence	0.0000	0.05
γ leverage Additional response to negative shocks	-0.5000	-48.85***
λ₁ tau intercept Baseline long-term coefficient	0.0175	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.9489	147.67***
λ₃ tau persistence Long-term factor persistence	0.0511	187.16***

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Our Bond Inc ILLIQ-MFMEM Liquidity Analysis

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Illiquidity Forecast

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