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	0.9974
αARCH	0.1166
βGARCH	0.8834

γ₁	0.6917
γ₂	-0.4871
γ₃	-3.9349
γ₄	9.6622
γ₅	-10.9768
γ₆	8.0752
γ₇	-4.4210
γ₈	1.8515
γ₉	-0.6785
γ₁₀	0.8111

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9974
α ARCH Response to squared shocks	0.1166
β GARCH Volatility persistence	0.8834

γ₁	0.6917
γ₂	-0.4871
γ₃	-3.9349
γ₄	9.6622
γ₅	-10.9768
γ₆	8.0752
γ₇	-4.4210
γ₈	1.8515
γ₉	-0.6785
γ₁₀	0.8111

V-Lab

Montanaro UK Smaller Companies Investment Trust PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Montanaro UK Smaller Companies Investment Trust PLC Analyses