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	1.2673	4.34***
αARCH	0.0800	9.14***
βGARCH	0.9026	81.92***

γ₁	-0.0624	-5.39***
γ₂	0.0953	5.73***
γ₃	-0.0472	-5.53***
γ₄	0.0330	3.94***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2673	4.34***
α ARCH Response to squared shocks	0.0800	9.14***
β GARCH Volatility persistence	0.9026	81.92***

γ₁	-0.0624	-5.39***
γ₂	0.0953	5.73***
γ₃	-0.0472	-5.53***
γ₄	0.0330	3.94***

V-Lab

James Hardie Industries PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other James Hardie Industries PLC Analyses