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	5.2137	3.36***
αARCH	0.0943	9.16***
βGARCH	0.8863	59.17***

γ₁	-0.3754	-1.68*
γ₂	1.0941	2.40**
γ₃	-1.3971	-3.19***
γ₄	1.1512	3.48***
γ₅	-0.7035	-3.24***
γ₆	0.2773	2.09**
γ₇	-0.0984	-1.10
γ₈	0.1743	2.33**
γ₉	-0.1848	-2.76***
γ₁₀	-0.0347	-0.36

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.2137	3.36***
α ARCH Response to squared shocks	0.0943	9.16***
β GARCH Volatility persistence	0.8863	59.17***

γ₁	-0.3754	-1.68*
γ₂	1.0941	2.40**
γ₃	-1.3971	-3.19***
γ₄	1.1512	3.48***
γ₅	-0.7035	-3.24***
γ₆	0.2773	2.09**
γ₇	-0.0984	-1.10
γ₈	0.1743	2.33**
γ₉	-0.1848	-2.76***
γ₁₀	-0.0347	-0.36

V-Lab

Bodycote PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bodycote PLC Analyses