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	7.0397	0.89
αARCH	0.9933	64.60***
βGARCH	0.0000	0.00

γ₁	0.4441	0.59
γ₂	-0.9651	-0.68
γ₃	0.8605	0.70
γ₄	-0.8244	-0.69
γ₅	1.4355	1.30
γ₆	-1.6100	-1.77*
γ₇	1.9055	1.63
γ₈	-3.2094	-1.87*
γ₉	2.0412	0.86

Parameter	Value	t-statistic
ω const Unconditional variance weight	7.0397	0.89
α ARCH Response to squared shocks	0.9933	64.60***
β GARCH Volatility persistence	0.0000	0.00

γ₁	0.4441	0.59
γ₂	-0.9651	-0.68
γ₃	0.8605	0.70
γ₄	-0.8244	-0.69
γ₅	1.4355	1.30
γ₆	-1.6100	-1.77*
γ₇	1.9055	1.63
γ₈	-3.2094	-1.87*
γ₉	2.0412	0.86

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