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	1.2214	5.71***
αARCH	0.1489	7.43***
βGARCH	0.8192	40.04***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2214	5.71***
α ARCH Response to squared shocks	0.1489	7.43***
β GARCH Volatility persistence	0.8192	40.04***

V-Lab

PM Capital Global Opportunities Fund Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other PM Capital Global Opportunities Fund Ltd Analyses