How volatility evolves over time

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{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	0.8092	3.83***
αARCH	0.1514	5.15***
βGARCH	0.7818	20.72***

γ₁	-1.1170	-2.07**
γ₂	0.6548	0.80
γ₃	1.3425	2.78***
γ₄	-1.4818	-4.24***
γ₅	1.1127	3.77***
γ₆	-0.8010	-3.45***
γ₇	0.5421	2.42**
γ₈	-0.4519	-1.81*
γ₉	0.2673	0.96
γ₁₀	-0.0870	-0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8092	3.83***
α ARCH Response to squared shocks	0.1514	5.15***
β GARCH Volatility persistence	0.7818	20.72***

γ₁	-1.1170	-2.07**
γ₂	0.6548	0.80
γ₃	1.3425	2.78***
γ₄	-1.4818	-4.24***
γ₅	1.1127	3.77***
γ₆	-0.8010	-3.45***
γ₇	0.5421	2.42**
γ₈	-0.4519	-1.81*
γ₉	0.2673	0.96
γ₁₀	-0.0870	-0.22

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