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	5.2104	3.34***
αARCH	0.0952	9.26***
βGARCH	0.8858	59.41***

γ₁	-0.3765	-1.70*
γ₂	1.0933	2.43**
γ₃	-1.3967	-3.22***
γ₄	1.1594	3.50***
γ₅	-0.7184	-3.28***
γ₆	0.2896	2.17**
γ₇	-0.1010	-1.11
γ₈	0.1699	2.22**
γ₉	-0.1779	-2.58***
γ₁₀	-0.0814	-0.87

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.2104	3.34***
α ARCH Response to squared shocks	0.0952	9.26***
β GARCH Volatility persistence	0.8858	59.41***

γ₁	-0.3765	-1.70*
γ₂	1.0933	2.43**
γ₃	-1.3967	-3.22***
γ₄	1.1594	3.50***
γ₅	-0.7184	-3.28***
γ₆	0.2896	2.17**
γ₇	-0.1010	-1.11
γ₈	0.1699	2.22**
γ₉	-0.1779	-2.58***
γ₁₀	-0.0814	-0.87

V-Lab

Bodycote PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bodycote PLC Analyses