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	1.1029	4.28***
αARCH	0.1682	3.75***
βGARCH	0.5388	4.82***

γ₁	-3.3410	-6.27***
γ₂	4.8594	6.58***
γ₃	-2.5912	-5.72***
γ₄	2.2024	4.12***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1029	4.28***
α ARCH Response to squared shocks	0.1682	3.75***
β GARCH Volatility persistence	0.5388	4.82***

γ₁	-3.3410	-6.27***
γ₂	4.8594	6.58***
γ₃	-2.5912	-5.72***
γ₄	2.2024	4.12***

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