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	1.0396	0.26
αARCH	0.8284	8.97***
βGARCH	0.1702	1.61

γ₁	-75.6403	-0.32
γ₂	239.1553	0.77
γ₃	-263.2837	-3.28***
γ₄	113.2078	26.46***
γ₅	-15.9014	-5.78***
γ₆	3.8823	1.97**
γ₇	-2.9234	-0.60
γ₈	2.5053	0.32
γ₉	-1.8610	-0.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0396	0.26
α ARCH Response to squared shocks	0.8284	8.97***
β GARCH Volatility persistence	0.1702	1.61

γ₁	-75.6403	-0.32
γ₂	239.1553	0.77
γ₃	-263.2837	-3.28***
γ₄	113.2078	26.46***
γ₅	-15.9014	-5.78***
γ₆	3.8823	1.97**
γ₇	-2.9234	-0.60
γ₈	2.5053	0.32
γ₉	-1.8610	-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