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
ωconst	7.2941	0.94
αARCH	0.9938	72.74***
βGARCH	0.0000	0.00

γ₁	0.4435	0.61
γ₂	-0.9699	-0.71
γ₃	0.8772	0.73
γ₄	-0.8462	-0.73
γ₅	1.4664	1.35
γ₆	-1.6493	-1.82*
γ₇	1.9299	1.69*
γ₈	-3.3214	-1.99**
γ₉	2.3527	1.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	7.2941	0.94
α ARCH Response to squared shocks	0.9938	72.74***
β GARCH Volatility persistence	0.0000	0.00

γ₁	0.4435	0.61
γ₂	-0.9699	-0.71
γ₃	0.8772	0.73
γ₄	-0.8462	-0.73
γ₅	1.4664	1.35
γ₆	-1.6493	-1.82*
γ₇	1.9299	1.69*
γ₈	-3.3214	-1.99**
γ₉	2.3527	1.01

V-Lab

Acorn Capital Investment Fund Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Acorn Capital Investment Fund Limited Analyses