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	1.8615	3.92***
αARCH	0.1842	16.63***
βGARCH	0.8137	73.16***

γ₁	-0.6621	-3.27***
γ₂	2.1085	4.77***
γ₃	-4.0213	-6.90***
γ₄	5.3116	7.50***
γ₅	-3.8378	-7.32***
γ₆	1.1732	5.56***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8615	3.92***
α ARCH Response to squared shocks	0.1842	16.63***
β GARCH Volatility persistence	0.8137	73.16***

γ₁	-0.6621	-3.27***
γ₂	2.1085	4.77***
γ₃	-4.0213	-6.90***
γ₄	5.3116	7.50***
γ₅	-3.8378	-7.32***
γ₆	1.1732	5.56***

V-Lab

Grafton Group PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Grafton Group PLC Analyses