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	0.3986	0.00
αARCH	0.2385	0.00
βGARCH	0.7615	0.00

γ₁	2.4052	0.00
γ₂	-5.4663	0.00
γ₃	-1.3599	0.00
γ₄	15.1980	0.00
γ₅	-17.6779	0.00
γ₆	8.4090	0.00
γ₇	-2.0255	0.00
γ₈	0.8075	0.00
γ₉	0.6298	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3986	0.00
α ARCH Response to squared shocks	0.2385	0.00
β GARCH Volatility persistence	0.7615	0.00

γ₁	2.4052	0.00
γ₂	-5.4663	0.00
γ₃	-1.3599	0.00
γ₄	15.1980	0.00
γ₅	-17.6779	0.00
γ₆	8.4090	0.00
γ₇	-2.0255	0.00
γ₈	0.8075	0.00
γ₉	0.6298	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