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	1.9574	4.55***
αARCH	0.1013	5.76***
βGARCH	0.8262	30.91***

γ₁	-0.4664	-3.25***
γ₂	0.6958	3.59***
γ₃	-0.2454	-2.58***
γ₄	0.0259	0.28
γ₅	-0.0243	-0.29
γ₆	0.0157	0.15

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9574	4.55***
α ARCH Response to squared shocks	0.1013	5.76***
β GARCH Volatility persistence	0.8262	30.91***

γ₁	-0.4664	-3.25***
γ₂	0.6958	3.59***
γ₃	-0.2454	-2.58***
γ₄	0.0259	0.28
γ₅	-0.0243	-0.29
γ₆	0.0157	0.15

V-Lab

Neuberger Private Equity Partners Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Neuberger Private Equity Partners Ltd Analyses