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	0.0514	9.06***
βGARCH	0.8698	58.65***
γleverage	0.0783	3.93***
λ₁tau intercept	0.0137	1.43
λ₂forecast adj.	0.0258	6.90***
λ₃tau persistence	0.9732	258.64***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0514	9.06***
β GARCH Volatility persistence	0.8698	58.65***
γ leverage Additional response to negative shocks	0.0783	3.93***
λ₁ tau intercept Baseline long-term coefficient	0.0137	1.43
λ₂ forecast adj. Forecast performance sensitivity	0.0258	6.90***
λ₃ tau persistence Long-term factor persistence	0.9732	258.64***

V-Lab

Wal-Mart Stores Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wal-Mart Stores Inc Analyses