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	2.3037	2.20**
αARCH	0.6591	6.48***
βGARCH	0.3258	2.92***

γ₁	9.0944	0.67
γ₂	-29.6930	-1.34
γ₃	40.8696	2.33**
γ₄	-43.0979	-2.82***
γ₅	45.0604	3.92***
γ₆	-39.7797	-3.28***
γ₇	36.2869	2.30**
γ₈	-45.4369	-2.61***
γ₉	64.8654	3.92***
γ₁₀	-74.0321	-3.56***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3037	2.20**
α ARCH Response to squared shocks	0.6591	6.48***
β GARCH Volatility persistence	0.3258	2.92***

γ₁	9.0944	0.67
γ₂	-29.6930	-1.34
γ₃	40.8696	2.33**
γ₄	-43.0979	-2.82***
γ₅	45.0604	3.92***
γ₆	-39.7797	-3.28***
γ₇	36.2869	2.30**
γ₈	-45.4369	-2.61***
γ₉	64.8654	3.92***
γ₁₀	-74.0321	-3.56***

V-Lab

FDH Bank PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other FDH Bank PLC Analyses