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	1.0806	4.19***
αARCH	0.1697	3.76***
βGARCH	0.5439	4.98***

γ₁	-3.4784	-6.24***
γ₂	5.0407	6.52***
γ₃	-2.6429	-5.49***
γ₄	2.1795	3.81***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0806	4.19***
α ARCH Response to squared shocks	0.1697	3.76***
β GARCH Volatility persistence	0.5439	4.98***

γ₁	-3.4784	-6.24***
γ₂	5.0407	6.52***
γ₃	-2.6429	-5.49***
γ₄	2.1795	3.81***

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