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	0.6869	0.34
αARCH	0.8299	2.98***
βGARCH	0.1694	1.66*

γ₁	-75.4920	-0.29
γ₂	239.6966	0.74
γ₃	-265.5471	-3.46***
γ₄	115.4816	26.97***
γ₅	-16.5607	-6.00***
γ₆	3.8657	1.70*
γ₇	-3.0501	-0.58
γ₈	2.7356	0.31
γ₉	-2.0726	-0.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6869	0.34
α ARCH Response to squared shocks	0.8299	2.98***
β GARCH Volatility persistence	0.1694	1.66*

γ₁	-75.4920	-0.29
γ₂	239.6966	0.74
γ₃	-265.5471	-3.46***
γ₄	115.4816	26.97***
γ₅	-16.5607	-6.00***
γ₆	3.8657	1.70*
γ₇	-3.0501	-0.58
γ₈	2.7356	0.31
γ₉	-2.0726	-0.16

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