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How returns affect tomorrow's illiquidity

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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	0.5181	0.22
αARCH	0.8309	1.46
βGARCH	0.1685	1.61

γ₁	-75.6572	-0.22
γ₂	240.3091	0.61
γ₃	-266.2272	-3.37***
γ₄	115.5894	25.22***
γ₅	-16.3050	-5.65***
γ₆	3.5135	1.12
γ₇	-2.4789	-0.38
γ₈	1.9588	0.17
γ₉	-0.5082	-0.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5181	0.22
α ARCH Response to squared shocks	0.8309	1.46
β GARCH Volatility persistence	0.1685	1.61

γ₁	-75.6572	-0.22
γ₂	240.3091	0.61
γ₃	-266.2272	-3.37***
γ₄	115.5894	25.22***
γ₅	-16.3050	-5.65***
γ₆	3.5135	1.12
γ₇	-2.4789	-0.38
γ₈	1.9588	0.17
γ₉	-0.5082	-0.03

V-Lab

Chams Holding Company PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Chams Holding Company PLC Analyses