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	1.0070	2.22**
αARCH	0.1436	4.17***
βGARCH	0.8335	31.09***

γ₁	-0.3653	-6.39***
γ₂	0.4778	5.31***
γ₃	-0.0991	-1.58
γ₄	-0.0072	-0.13
γ₅	-0.0132	-0.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0070	2.22**
α ARCH Response to squared shocks	0.1436	4.17***
β GARCH Volatility persistence	0.8335	31.09***

γ₁	-0.3653	-6.39***
γ₂	0.4778	5.31***
γ₃	-0.0991	-1.58
γ₄	-0.0072	-0.13
γ₅	-0.0132	-0.16

V-Lab

Henderson Smaller Companies Investment Trust PLC/The Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Henderson Smaller Companies Investment Trust PLC/The Analyses