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	1.0031	2.25**
αARCH	0.1428	4.15***
βGARCH	0.8338	31.17***

γ₁	-0.3625	-6.46***
γ₂	0.4751	5.39***
γ₃	-0.1000	-1.63
γ₄	-0.0050	-0.10
γ₅	-0.0204	-0.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0031	2.25**
α ARCH Response to squared shocks	0.1428	4.15***
β GARCH Volatility persistence	0.8338	31.17***

γ₁	-0.3625	-6.46***
γ₂	0.4751	5.39***
γ₃	-0.1000	-1.63
γ₄	-0.0050	-0.10
γ₅	-0.0204	-0.25

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