How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	0.8078	3.87***
αARCH	0.1514	5.15***
βGARCH	0.7820	20.87***

γ₁	-1.1363	-2.18**
γ₂	0.7088	0.89
γ₃	1.2774	2.69***
γ₄	-1.4302	-4.15***
γ₅	1.0748	3.67***
γ₆	-0.7705	-3.36***
γ₇	0.5157	2.39**
γ₈	-0.4388	-1.83*
γ₉	0.2765	1.01
γ₁₀	-0.1227	-0.33

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8078	3.87***
α ARCH Response to squared shocks	0.1514	5.15***
β GARCH Volatility persistence	0.7820	20.87***

γ₁	-1.1363	-2.18**
γ₂	0.7088	0.89
γ₃	1.2774	2.69***
γ₄	-1.4302	-4.15***
γ₅	1.0748	3.67***
γ₆	-0.7705	-3.36***
γ₇	0.5157	2.39**
γ₈	-0.4388	-1.83*
γ₉	0.2765	1.01
γ₁₀	-0.1227	-0.33

V-Lab

Partners Group Private Equity Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Partners Group Private Equity Ltd Analyses