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	1.5343	0.67
αARCH	0.0376	0.02
βGARCH	0.9624	0.51

γ₁	-0.0483	-0.01
γ₂	0.0722	0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5343	0.67
α ARCH Response to squared shocks	0.0376	0.02
β GARCH Volatility persistence	0.9624	0.51

γ₁	-0.0483	-0.01
γ₂	0.0722	0.01

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Big Yellow Group PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Big Yellow Group PLC Analyses