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	91
αARCH	0.0037
βGARCH	0.7724
γleverage	0.1338
λ₁tau intercept	0.0096
λ₂forecast adj.	0.0308
λ₃tau persistence	0.2595

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.0037
β GARCH Volatility persistence	0.7724
γ leverage Additional response to negative shocks	0.1338
λ₁ tau intercept Baseline long-term coefficient	0.0096
λ₂ forecast adj. Forecast performance sensitivity	0.0308
λ₃ tau persistence Long-term factor persistence	0.2595

V-Lab

Pasqal Holding SA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pasqal Holding SA Analyses