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	1.2016	3.87***
αARCH	0.1994	6.93***
βGARCH	0.7994	28.04***

γ₁	-0.8420	-1.83*
γ₂	1.3180	1.74*
γ₃	-3.8208	-2.67***
γ₄	9.0825	3.25***
γ₅	-9.0545	-3.55***
γ₆	4.1453	4.19***
γ₇	-1.4433	-4.43***
γ₈	1.3944	3.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2016	3.87***
α ARCH Response to squared shocks	0.1994	6.93***
β GARCH Volatility persistence	0.7994	28.04***

γ₁	-0.8420	-1.83*
γ₂	1.3180	1.74*
γ₃	-3.8208	-2.67***
γ₄	9.0825	3.25***
γ₅	-9.0545	-3.55***
γ₆	4.1453	4.19***
γ₇	-1.4433	-4.43***
γ₈	1.3944	3.93***

V-Lab

JPMorgan UK Small CAP Growth & Income PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other JPMorgan UK Small CAP Growth & Income PLC Analyses