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	1.1217	4.33***
αARCH	0.1671	3.76***
βGARCH	0.5407	4.82***

γ₁	-3.2432	-6.26***
γ₂	4.7256	6.59***
γ₃	-2.5403	-5.85***
γ₄	2.1920	4.36***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1217	4.33***
α ARCH Response to squared shocks	0.1671	3.76***
β GARCH Volatility persistence	0.5407	4.82***

γ₁	-3.2432	-6.26***
γ₂	4.7256	6.59***
γ₃	-2.5403	-5.85***
γ₄	2.1920	4.36***

V-Lab

Chicago Atlantic BDC Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Chicago Atlantic BDC Inc Analyses