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	126
αARCH	0.2538	1.07
βGARCH	0.0000	0.13
γleverage	0.5000	1.10
λ₁tau intercept	10.0000	0.31
λ₂forecast adj.	0.0129	2.27**
λ₃tau persistence	0.9871	330.01***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.2538	1.07
β GARCH Volatility persistence	0.0000	0.13
γ leverage Additional response to negative shocks	0.5000	1.10
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.31
λ₂ forecast adj. Forecast performance sensitivity	0.0129	2.27**
λ₃ tau persistence Long-term factor persistence	0.9871	330.01***

V-Lab

Science Group PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Science Group PLC Analyses