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	41
αARCH	0.1130	10.68***
βGARCH	0.7557	25.73***
γleverage	-0.1130	-4.72***
λ₁tau intercept	2.7187	0.80
λ₂forecast adj.	0.4942	4.94***
λ₃tau persistence	0.5058	5.03***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1130	10.68***
β GARCH Volatility persistence	0.7557	25.73***
γ leverage Additional response to negative shocks	-0.1130	-4.72***
λ₁ tau intercept Baseline long-term coefficient	2.7187	0.80
λ₂ forecast adj. Forecast performance sensitivity	0.4942	4.94***
λ₃ tau persistence Long-term factor persistence	0.5058	5.03***

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Ryman Hospitality Properties Inc ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

Parameter Estimates

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