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	0.9967	2.23**
αARCH	0.1453	4.18***
βGARCH	0.8311	30.93***

γ₁	-0.3677	-6.43***
γ₂	0.4807	5.35***
γ₃	-0.1013	-1.61
γ₄	0.0012	0.02
γ₅	-0.0421	-0.53

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9967	2.23**
α ARCH Response to squared shocks	0.1453	4.18***
β GARCH Volatility persistence	0.8311	30.93***

γ₁	-0.3677	-6.43***
γ₂	0.4807	5.35***
γ₃	-0.1013	-1.61
γ₄	0.0012	0.02
γ₅	-0.0421	-0.53

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