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	0.2075	5.15***
αARCH	0.3165	3.35***
βGARCH	0.2847	2.06**

γ₁	0.6275	2.19**
γ₂	-0.4004	-1.01
γ₃	-0.7246	-2.82***
γ₄	0.9341	3.15***
γ₅	-0.3171	-0.78
γ₆	-0.8197	-2.09**
γ₇	1.9359	4.74***
γ₈	-3.0213	-4.90***
γ₉	4.1440	4.23***
γ₁₀	-6.1225	-4.99***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2075	5.15***
α ARCH Response to squared shocks	0.3165	3.35***
β GARCH Volatility persistence	0.2847	2.06**

γ₁	0.6275	2.19**
γ₂	-0.4004	-1.01
γ₃	-0.7246	-2.82***
γ₄	0.9341	3.15***
γ₅	-0.3171	-0.78
γ₆	-0.8197	-2.09**
γ₇	1.9359	4.74***
γ₈	-3.0213	-4.90***
γ₉	4.1440	4.23***
γ₁₀	-6.1225	-4.99***

V-Lab

Hutchison Port Holdings Trust Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hutchison Port Holdings Trust Analyses