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	121
αARCH	0.2899	2.34**
βGARCH	0.8042	11.12***
γleverage	-0.2061	-1.67*
λ₁tau intercept	0.1071	0.32
λ₂forecast adj.	0.0000	0.67
λ₃tau persistence	0.1890	4.46***

Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.2899	2.34**
β GARCH Volatility persistence	0.8042	11.12***
γ leverage Additional response to negative shocks	-0.2061	-1.67*
λ₁ tau intercept Baseline long-term coefficient	0.1071	0.32
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.67
λ₃ tau persistence Long-term factor persistence	0.1890	4.46***

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Shree Rama Multi-Tech Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shree Rama Multi-Tech Ltd Analyses