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	61
αARCH	0.0802	12.96***
βGARCH	0.8766	126.50***
γleverage	-0.0802	-1.25
λ₁tau intercept	0.2607	0.35
λ₂forecast adj.	0.8732	38.20***
λ₃tau persistence	0.1059	16.61***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0802	12.96***
β GARCH Volatility persistence	0.8766	126.50***
γ leverage Additional response to negative shocks	-0.0802	-1.25
λ₁ tau intercept Baseline long-term coefficient	0.2607	0.35
λ₂ forecast adj. Forecast performance sensitivity	0.8732	38.20***
λ₃ tau persistence Long-term factor persistence	0.1059	16.61***

V-Lab

Vistra Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vistra Corp Analyses