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	21
αARCH	0.1109	11.33***
βGARCH	0.7743	38.46***
γleverage	0.0823	4.72***
λ₁tau intercept	9.1875	1.77*
λ₂forecast adj.	0.1957	4.78***
λ₃tau persistence	0.8043	19.68***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1109	11.33***
β GARCH Volatility persistence	0.7743	38.46***
γ leverage Additional response to negative shocks	0.0823	4.72***
λ₁ tau intercept Baseline long-term coefficient	9.1875	1.77*
λ₂ forecast adj. Forecast performance sensitivity	0.1957	4.78***
λ₃ tau persistence Long-term factor persistence	0.8043	19.68***

V-Lab

UBISOFT Entertainment ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other UBISOFT Entertainment Analyses