How volatility evolves over time

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How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.0471	1.27
αARCH	0.3356	3.82***
βGARCH	0.6605	7.90***

γ₁	-2.1455	-3.10***
γ₂	2.1460	2.26**
γ₃	0.4509	1.14
γ₄	-0.4052	-0.84
γ₅	-0.1277	-0.24
γ₆	-0.7699	-1.03
γ₇	1.9316	1.59
γ₈	-1.2779	-1.16
γ₉	-0.0502	-0.08
γ₁₀	0.6804	1.11

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0471	1.27
α ARCH Response to squared shocks	0.3356	3.82***
β GARCH Volatility persistence	0.6605	7.90***

γ₁	-2.1455	-3.10***
γ₂	2.1460	2.26**
γ₃	0.4509	1.14
γ₄	-0.4052	-0.84
γ₅	-0.1277	-0.24
γ₆	-0.7699	-1.03
γ₇	1.9316	1.59
γ₈	-1.2779	-1.16
γ₉	-0.0502	-0.08
γ₁₀	0.6804	1.11

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