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	1.1592	0.89
αARCH	0.3380	3.34***
βGARCH	0.6553	7.33***

γ₁	-1.6651	-2.86***
γ₂	1.7439	1.96**
γ₃	0.3265	0.67
γ₄	-0.3274	-0.77
γ₅	-0.7437	-1.21
γ₆	0.9816	1.72*
γ₇	0.0319	0.09
γ₈	-0.7147	-2.86***
γ₉	0.7443	1.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1592	0.89
α ARCH Response to squared shocks	0.3380	3.34***
β GARCH Volatility persistence	0.6553	7.33***

γ₁	-1.6651	-2.86***
γ₂	1.7439	1.96**
γ₃	0.3265	0.67
γ₄	-0.3274	-0.77
γ₅	-0.7437	-1.21
γ₆	0.9816	1.72*
γ₇	0.0319	0.09
γ₈	-0.7147	-2.86***
γ₉	0.7443	1.54

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