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	26
αARCH	0.1800	14.15***
βGARCH	0.7882	47.61***
γleverage	-0.1800	-4.01***
λ₁tau intercept	2.3695	2.03**
λ₂forecast adj.	0.2738	5.64***
λ₃tau persistence	0.7262	14.83***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1800	14.15***
β GARCH Volatility persistence	0.7882	47.61***
γ leverage Additional response to negative shocks	-0.1800	-4.01***
λ₁ tau intercept Baseline long-term coefficient	2.3695	2.03**
λ₂ forecast adj. Forecast performance sensitivity	0.2738	5.64***
λ₃ tau persistence Long-term factor persistence	0.7262	14.83***

V-Lab

Samart Corp PCL ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Samart Corp PCL Analyses