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	2.1735	0.25
αARCH	0.0137	1.86*
βGARCH	0.9749	210.16***
γleverage	0.0228	1.80*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1735	0.25
α ARCH Response to squared shocks	0.0137	1.86*
β GARCH Volatility persistence	0.9749	210.16***
γ leverage Additional response to negative shocks	0.0228	1.80*

V-Lab

AXA Mansard Insurance PLC Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AXA Mansard Insurance PLC Analyses