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	5.5253	0.81
αARCH	0.9918	48.80***
βGARCH	0.0000	0.00

γ₁	-0.0872	-0.35
γ₂	-0.0317	-0.09
γ₃	0.2212	0.55
γ₄	0.1520	0.35
γ₅	-0.1195	-0.30
γ₆	-1.9288	-1.81*

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.5253	0.81
α ARCH Response to squared shocks	0.9918	48.80***
β GARCH Volatility persistence	0.0000	0.00

γ₁	-0.0872	-0.35
γ₂	-0.0317	-0.09
γ₃	0.2212	0.55
γ₄	0.1520	0.35
γ₅	-0.1195	-0.30
γ₆	-1.9288	-1.81*

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