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	0.8598	0.20
αARCH	0.1988	0.04
βGARCH	0.8012	0.17

γ₁	1.6121	0.81
γ₂	-5.5878	-2.75***
γ₃	6.8299	0.18
γ₄	-2.2566	-0.02
γ₅	-1.8398	-0.01
γ₆	1.4509	0.02
γ₇	0.0862	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8598	0.20
α ARCH Response to squared shocks	0.1988	0.04
β GARCH Volatility persistence	0.8012	0.17

γ₁	1.6121	0.81
γ₂	-5.5878	-2.75***
γ₃	6.8299	0.18
γ₄	-2.2566	-0.02
γ₅	-1.8398	-0.01
γ₆	1.4509	0.02
γ₇	0.0862	0.00

V-Lab

First Capital Holdings Plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other First Capital Holdings Plc Analyses