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	0.9953
αARCH	0.1105
βGARCH	0.8895

γ₁	0.6640
γ₂	-0.5388
γ₃	-3.3026
γ₄	8.1748
γ₅	-9.3225
γ₆	6.9331
γ₇	-3.7437
γ₈	1.4894
γ₉	-0.5074
γ₁₀	0.6924

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9953
α ARCH Response to squared shocks	0.1105
β GARCH Volatility persistence	0.8895

γ₁	0.6640
γ₂	-0.5388
γ₃	-3.3026
γ₄	8.1748
γ₅	-9.3225
γ₆	6.9331
γ₇	-3.7437
γ₈	1.4894
γ₉	-0.5074
γ₁₀	0.6924

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