How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.3286	3.47***
αARCH	0.1206	5.67***
βGARCH	0.8767	36.23***

γ₁	0.1843	0.22
γ₂	-0.8433	-0.80
γ₃	2.4668	3.93***
γ₄	-5.3812	-5.79***
γ₅	6.9387	5.04***
γ₆	-4.5739	-3.49***
γ₇	1.4781	1.30
γ₈	-0.5143	-0.67
γ₉	-0.6351	-1.13
γ₁₀	2.6502	3.19***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3286	3.47***
α ARCH Response to squared shocks	0.1206	5.67***
β GARCH Volatility persistence	0.8767	36.23***

γ₁	0.1843	0.22
γ₂	-0.8433	-0.80
γ₃	2.4668	3.93***
γ₄	-5.3812	-5.79***
γ₅	6.9387	5.04***
γ₆	-4.5739	-3.49***
γ₇	1.4781	1.30
γ₈	-0.5143	-0.67
γ₉	-0.6351	-1.13
γ₁₀	2.6502	3.19***

V-Lab

Jubilee General Insurance Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jubilee General Insurance Co Analyses