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	46
αARCH	0.1427	9.15***
βGARCH	0.6886	28.08***
γleverage	0.3312	14.87***
λ₁tau intercept	2.1324	0.00
λ₂forecast adj.	0.4139	2.50**
λ₃tau persistence	0.5861	3.56***

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.1427	9.15***
β GARCH Volatility persistence	0.6886	28.08***
γ leverage Additional response to negative shocks	0.3312	14.87***
λ₁ tau intercept Baseline long-term coefficient	2.1324	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.4139	2.50**
λ₃ tau persistence Long-term factor persistence	0.5861	3.56***

V-Lab

PM Capital Global Opportunities Fund Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other PM Capital Global Opportunities Fund Ltd Analyses