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	0.9838
αARCH	0.0819
βGARCH	0.9181

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9838
α ARCH Response to squared shocks	0.0819
β GARCH Volatility persistence	0.9181

V-Lab

UBISOFT Entertainment Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other UBISOFT Entertainment Analyses