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	1.1821	3.74***
αARCH	0.1983	6.92***
βGARCH	0.8007	28.10***

γ₁	-0.9036	-1.91*
γ₂	1.4157	1.82*
γ₃	-3.8277	-2.76***
γ₄	8.9295	3.38***
γ₅	-8.8232	-3.70***
γ₆	3.9717	4.36***
γ₇	-1.3063	-4.40***
γ₈	1.1731	3.47***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1821	3.74***
α ARCH Response to squared shocks	0.1983	6.92***
β GARCH Volatility persistence	0.8007	28.10***

γ₁	-0.9036	-1.91*
γ₂	1.4157	1.82*
γ₃	-3.8277	-2.76***
γ₄	8.9295	3.38***
γ₅	-8.8232	-3.70***
γ₆	3.9717	4.36***
γ₇	-1.3063	-4.40***
γ₈	1.1731	3.47***

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