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
αARCH	0.0000	0.02
βGARCH	0.1765	13.71***
γleverage	0.2576	222.41***
λ₁tau intercept	4,284.2034

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0000	0.02
β GARCH Volatility persistence	0.1765	13.71***
γ leverage Additional response to negative shocks	0.2576	222.41***
λ₁ tau intercept Baseline long-term coefficient	4,284.2034

V-Lab

Zelio E Mobility Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zelio E Mobility Ltd Analyses