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	1.0805	3.06***
αARCH	0.1393	4.45***
βGARCH	0.7456	12.45***

γ₁	-3.6412	-3.59***
γ₂	5.3729	3.84***
γ₃	-2.4807	-3.67***
γ₄	1.4280	2.78***
γ₅	-1.0000	-2.21**
γ₆	0.9798	1.90*
γ₇	-1.6080	-2.47**
γ₈	1.3434	1.57

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0805	3.06***
α ARCH Response to squared shocks	0.1393	4.45***
β GARCH Volatility persistence	0.7456	12.45***

γ₁	-3.6412	-3.59***
γ₂	5.3729	3.84***
γ₃	-2.4807	-3.67***
γ₄	1.4280	2.78***
γ₅	-1.0000	-2.21**
γ₆	0.9798	1.90*
γ₇	-1.6080	-2.47**
γ₈	1.3434	1.57

V-Lab

BioPharma Credit PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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