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	5.3772	3.34***
αARCH	0.0990	9.62***
βGARCH	0.8834	60.34***

γ₁	-0.3835	-1.72*
γ₂	1.1067	2.43**
γ₃	-1.4129	-3.21***
γ₄	1.1827	3.45***
γ₅	-0.7452	-3.24***
γ₆	0.3089	2.21**
γ₇	-0.1043	-1.09
γ₈	0.1608	1.96*
γ₉	-0.1603	-2.09**
γ₁₀	-0.2642	-2.35**

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.3772	3.34***
α ARCH Response to squared shocks	0.0990	9.62***
β GARCH Volatility persistence	0.8834	60.34***

γ₁	-0.3835	-1.72*
γ₂	1.1067	2.43**
γ₃	-1.4129	-3.21***
γ₄	1.1827	3.45***
γ₅	-0.7452	-3.24***
γ₆	0.3089	2.21**
γ₇	-0.1043	-1.09
γ₈	0.1608	1.96*
γ₉	-0.1603	-2.09**
γ₁₀	-0.2642	-2.35**

V-Lab

Bodycote PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bodycote PLC Analyses