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	1.1661	0.89
αARCH	0.3376	3.35***
βGARCH	0.6557	7.36***

γ₁	-1.6548	-2.87***
γ₂	1.7388	1.97**
γ₃	0.3202	0.66
γ₄	-0.3348	-0.79
γ₅	-0.7391	-1.21
γ₆	1.0158	1.74*
γ₇	-0.0279	-0.08
γ₈	-0.6729	-2.76***
γ₉	0.7227	1.70*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1661	0.89
α ARCH Response to squared shocks	0.3376	3.35***
β GARCH Volatility persistence	0.6557	7.36***

γ₁	-1.6548	-2.87***
γ₂	1.7388	1.97**
γ₃	0.3202	0.66
γ₄	-0.3348	-0.79
γ₅	-0.7391	-1.21
γ₆	1.0158	1.74*
γ₇	-0.0279	-0.08
γ₈	-0.6729	-2.76***
γ₉	0.7227	1.70*

V-Lab

Montanaro European Smaller Cos Trust PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Montanaro European Smaller Cos Trust PLC Analyses