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	0.3733	3.35***
αARCH	0.0930	6.26***
βGARCH	0.8778	46.51***

γ₁	-1.7175	-7.98***
γ₂	3.1786	9.17***
γ₃	-2.4229	-7.66***
γ₄	1.1603	3.98***
γ₅	0.0237	0.08
γ₆	-0.6204	-1.96*
γ₇	1.3944	3.20***
γ₈	-1.7844	-2.39**
γ₉	1.5468	1.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3733	3.35***
α ARCH Response to squared shocks	0.0930	6.26***
β GARCH Volatility persistence	0.8778	46.51***

γ₁	-1.7175	-7.98***
γ₂	3.1786	9.17***
γ₃	-2.4229	-7.66***
γ₄	1.1603	3.98***
γ₅	0.0237	0.08
γ₆	-0.6204	-1.96*
γ₇	1.3944	3.20***
γ₈	-1.7844	-2.39**
γ₉	1.5468	1.44

V-Lab

Thorney Opportunities Ltd/Fund Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Thorney Opportunities Ltd/Fund Analyses