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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	19.5097	1.46
αARCH	0.1466	1.87*
βGARCH	0.8111	6.53***
νDF	3.1552	1.33

Parameter	Value	t-statistic
ω const Unconditional variance weight	19.5097	1.46
α ARCH Response to squared shocks	0.1466	1.87*
β GARCH Volatility persistence	0.8111	6.53***
ν DF Student-t tail thickness	3.1552	1.33

V-Lab

Ardagh Metal Packaging S A GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ardagh Metal Packaging S A Analyses