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{name} Model Equation

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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	0.1348	4.00***
αARCH	0.3409	1.94*
βGARCH	0.1051	1.14

γ₁	-0.3113	-1.03
γ₂	0.3663	0.83
γ₃	0.0663	0.32
γ₄	0.1739	1.08
γ₅	-0.8886	-3.96***
γ₆	0.7263	2.52**
γ₇	0.1938	0.79
γ₈	-0.6717	-2.79***
γ₉	0.5876	2.18**
γ₁₀	-0.4947	-1.45

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1348	4.00***
α ARCH Response to squared shocks	0.3409	1.94*
β GARCH Volatility persistence	0.1051	1.14

γ₁	-0.3113	-1.03
γ₂	0.3663	0.83
γ₃	0.0663	0.32
γ₄	0.1739	1.08
γ₅	-0.8886	-3.96***
γ₆	0.7263	2.52**
γ₇	0.1938	0.79
γ₈	-0.6717	-2.79***
γ₉	0.5876	2.18**
γ₁₀	-0.4947	-1.45

V-Lab

Town Centre Securities PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Town Centre Securities PLC Analyses