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	0.4748	2.18**
αARCH	0.0405	1.02
βGARCH	0.3481	0.74

γ₁	12.6495	0.83
γ₂	-34.9535	-1.46
γ₃	35.5465	2.83***
γ₄	-20.7816	-2.65***
γ₅	14.7585	1.52
γ₆	-11.9869	-1.19
γ₇	12.5421	1.30
γ₈	-13.9338	-0.95
γ₉	9.0965	0.49
γ₁₀	-10.5815	-0.51

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4748	2.18**
α ARCH Response to squared shocks	0.0405	1.02
β GARCH Volatility persistence	0.3481	0.74

γ₁	12.6495	0.83
γ₂	-34.9535	-1.46
γ₃	35.5465	2.83***
γ₄	-20.7816	-2.65***
γ₅	14.7585	1.52
γ₆	-11.9869	-1.19
γ₇	12.5421	1.30
γ₈	-13.9338	-0.95
γ₉	9.0965	0.49
γ₁₀	-10.5815	-0.51

V-Lab

FMB Capital Holdings PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other FMB Capital Holdings PLC Analyses