How volatility evolves over time

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{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	9.0223	3.92***
αARCH	0.1088	9.72***
βGARCH	0.8773	61.50***

γ₁	0.0028	0.02
γ₂	0.3436	1.27
γ₃	-1.0344	-2.34**
γ₄	1.5128	2.25**
γ₅	-1.2520	-2.26**
γ₆	0.4678	2.19**
γ₇	0.0156	0.20
γ₈	-0.0612	-0.95
γ₉	-0.2354	-2.22**

Parameter	Value	t-statistic
ω const Unconditional variance weight	9.0223	3.92***
α ARCH Response to squared shocks	0.1088	9.72***
β GARCH Volatility persistence	0.8773	61.50***

γ₁	0.0028	0.02
γ₂	0.3436	1.27
γ₃	-1.0344	-2.34**
γ₄	1.5128	2.25**
γ₅	-1.2520	-2.26**
γ₆	0.4678	2.19**
γ₇	0.0156	0.20
γ₈	-0.0612	-0.95
γ₉	-0.2354	-2.22**

V-Lab

Bodycote PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bodycote PLC Analyses