How volatility evolves over time

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{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	3.0214	3.19***
αARCH	0.0198	2.50**
βGARCH	0.9563	43.89***

γ₁	0.0594	0.63
γ₂	-0.2306	-1.89*
γ₃	0.4268	5.89***
γ₄	-0.4130	-8.42***
γ₅	0.2017	5.82***
γ₆	-0.0517	-1.72*
γ₇	0.0639	2.19**
γ₈	-0.0526	-1.79*
γ₉	-0.1144	-2.70***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0214	3.19***
α ARCH Response to squared shocks	0.0198	2.50**
β GARCH Volatility persistence	0.9563	43.89***

γ₁	0.0594	0.63
γ₂	-0.2306	-1.89*
γ₃	0.4268	5.89***
γ₄	-0.4130	-8.42***
γ₅	0.2017	5.82***
γ₆	-0.0517	-1.72*
γ₇	0.0639	2.19**
γ₈	-0.0526	-1.79*
γ₉	-0.1144	-2.70***

V-Lab

Derwent London PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Derwent London PLC Analyses