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
mwindow	76
αARCH	0.1039	7.30***
βGARCH	0.8306	27.07***
γleverage	-0.1039	-0.54
λ₁tau intercept	0.2730	0.38
λ₂forecast adj.	0.0867	1.16
λ₃tau persistence	0.9126	12.62***

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.1039	7.30***
β GARCH Volatility persistence	0.8306	27.07***
γ leverage Additional response to negative shocks	-0.1039	-0.54
λ₁ tau intercept Baseline long-term coefficient	0.2730	0.38
λ₂ forecast adj. Forecast performance sensitivity	0.0867	1.16
λ₃ tau persistence Long-term factor persistence	0.9126	12.62***

V-Lab

James Hardie Industries PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other James Hardie Industries PLC Analyses