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	1.0630	3.03***
αARCH	0.1384	4.46***
βGARCH	0.7500	12.72***

γ₁	-3.7191	-3.60***
γ₂	5.4706	3.85***
γ₃	-2.5030	-3.62***
γ₄	1.4317	2.70***
γ₅	-1.0119	-2.14**
γ₆	1.0149	1.85*
γ₇	-1.6251	-2.39**
γ₈	1.3197	1.50

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0630	3.03***
α ARCH Response to squared shocks	0.1384	4.46***
β GARCH Volatility persistence	0.7500	12.72***

γ₁	-3.7191	-3.60***
γ₂	5.4706	3.85***
γ₃	-2.5030	-3.62***
γ₄	1.4317	2.70***
γ₅	-1.0119	-2.14**
γ₆	1.0149	1.85*
γ₇	-1.6251	-2.39**
γ₈	1.3197	1.50

V-Lab

BioPharma Credit PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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