How volatility evolves over time

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{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	0.2168	2.60***
αARCH	0.0275	2.21**
βGARCH	0.9540	51.03***

γ₁	-0.2480	-0.75
γ₂	0.2653	0.52
γ₃	0.3863	1.37
γ₄	-0.6804	-2.80***
γ₅	0.0928	0.48
γ₆	0.5552	3.22***
γ₇	-0.6756	-2.85***
γ₈	0.4891	1.96**
γ₉	-0.3155	-0.84

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2168	2.60***
α ARCH Response to squared shocks	0.0275	2.21**
β GARCH Volatility persistence	0.9540	51.03***

γ₁	-0.2480	-0.75
γ₂	0.2653	0.52
γ₃	0.3863	1.37
γ₄	-0.6804	-2.80***
γ₅	0.0928	0.48
γ₆	0.5552	3.22***
γ₇	-0.6756	-2.85***
γ₈	0.4891	1.96**
γ₉	-0.3155	-0.84

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