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	1.9755	4.57***
αARCH	0.1021	5.82***
βGARCH	0.8246	30.75***

γ₁	-0.4596	-3.22***
γ₂	0.6867	3.57***
γ₃	-0.2414	-2.57**
γ₄	0.0201	0.22
γ₅	-0.0119	-0.15
γ₆	-0.0241	-0.23

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9755	4.57***
α ARCH Response to squared shocks	0.1021	5.82***
β GARCH Volatility persistence	0.8246	30.75***

γ₁	-0.4596	-3.22***
γ₂	0.6867	3.57***
γ₃	-0.2414	-2.57**
γ₄	0.0201	0.22
γ₅	-0.0119	-0.15
γ₆	-0.0241	-0.23

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