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	0.0986	8.85***
βGARCH	0.8162	42.05***
γleverage	-0.0986	-2.88***
λ₁tau intercept	1.0997	0.97
λ₂forecast adj.	0.0239	2.38**
λ₃tau persistence	0.9748	96.04***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0986	8.85***
β GARCH Volatility persistence	0.8162	42.05***
γ leverage Additional response to negative shocks	-0.0986	-2.88***
λ₁ tau intercept Baseline long-term coefficient	1.0997	0.97
λ₂ forecast adj. Forecast performance sensitivity	0.0239	2.38**
λ₃ tau persistence Long-term factor persistence	0.9748	96.04***

V-Lab

Warehouses De Pauw CVA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Warehouses De Pauw CVA Analyses