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	0.9931	6.06***
αARCH	0.0502	3.63***
βGARCH	0.8792	23.77***

γ₁	-0.3180	-4.27***
γ₂	0.4622	4.06***
γ₃	-0.2327	-2.31**
γ₄	0.0817	0.70
γ₅	-0.0681	-0.60
γ₆	0.2487	2.02**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9931	6.06***
α ARCH Response to squared shocks	0.0502	3.63***
β GARCH Volatility persistence	0.8792	23.77***

γ₁	-0.3180	-4.27***
γ₂	0.4622	4.06***
γ₃	-0.2327	-2.31**
γ₄	0.0817	0.70
γ₅	-0.0681	-0.60
γ₆	0.2487	2.02**

V-Lab

AXA Mansard Insurance PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AXA Mansard Insurance PLC Analyses