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	0.7871	3.96***
αARCH	0.1390	4.82***
βGARCH	0.8205	23.34***

γ₁	-1.1015	-7.83***
γ₂	1.5024	7.10***
γ₃	-0.4646	-2.66***
γ₄	0.1601	0.95
γ₅	-0.1009	-0.78
γ₆	-0.0386	-0.32
γ₇	0.0617	0.34

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7871	3.96***
α ARCH Response to squared shocks	0.1390	4.82***
β GARCH Volatility persistence	0.8205	23.34***

γ₁	-1.1015	-7.83***
γ₂	1.5024	7.10***
γ₃	-0.4646	-2.66***
γ₄	0.1601	0.95
γ₅	-0.1009	-0.78
γ₆	-0.0386	-0.32
γ₇	0.0617	0.34

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