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	1.0096	3.48***
αARCH	0.0914	6.81***
βGARCH	0.8956	65.58***

γ₁	-0.5002	-1.03
γ₂	1.6790	2.35**
γ₃	-2.1787	-4.43***
γ₄	1.1887	3.02***
γ₅	0.0815	0.23
γ₆	-0.8122	-1.98**
γ₇	1.7549	3.26***
γ₈	-2.1372	-2.57**
γ₉	1.7194	1.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0096	3.48***
α ARCH Response to squared shocks	0.0914	6.81***
β GARCH Volatility persistence	0.8956	65.58***

γ₁	-0.5002	-1.03
γ₂	1.6790	2.35**
γ₃	-2.1787	-4.43***
γ₄	1.1887	3.02***
γ₅	0.0815	0.23
γ₆	-0.8122	-1.98**
γ₇	1.7549	3.26***
γ₈	-2.1372	-2.57**
γ₉	1.7194	1.54

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