How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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	3.0068	3.18***
αARCH	0.0199	2.53**
βGARCH	0.9564	44.60***

γ₁	0.0553	0.58
γ₂	-0.2238	-1.83*
γ₃	0.4226	5.84***
γ₄	-0.4112	-8.43***
γ₅	0.2021	5.85***
γ₆	-0.0520	-1.73*
γ₇	0.0642	2.19**
γ₈	-0.0555	-1.89*
γ₉	-0.1119	-2.72***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0068	3.18***
α ARCH Response to squared shocks	0.0199	2.53**
β GARCH Volatility persistence	0.9564	44.60***

γ₁	0.0553	0.58
γ₂	-0.2238	-1.83*
γ₃	0.4226	5.84***
γ₄	-0.4112	-8.43***
γ₅	0.2021	5.85***
γ₆	-0.0520	-1.73*
γ₇	0.0642	2.19**
γ₈	-0.0555	-1.89*
γ₉	-0.1119	-2.72***

V-Lab

Derwent London PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Derwent London PLC Analyses