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	61
αARCH	0.3084	1.83*
βGARCH	0.4372	2.11**
γleverage	-0.3084	-1.21
λ₁tau intercept	10.0000	4.22***
λ₂forecast adj.	0.7584	4.18***
λ₃tau persistence	0.2416	3.76***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.3084	1.83*
β GARCH Volatility persistence	0.4372	2.11**
γ leverage Additional response to negative shocks	-0.3084	-1.21
λ₁ tau intercept Baseline long-term coefficient	10.0000	4.22***
λ₂ forecast adj. Forecast performance sensitivity	0.7584	4.18***
λ₃ tau persistence Long-term factor persistence	0.2416	3.76***

V-Lab

Supra Boga Lestari ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Supra Boga Lestari Analyses