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	1.4704	0.08
αARCH	0.1316	0.02
βGARCH	0.8684	0.12

γ₁	-0.3838	-0.05
γ₂	0.5568	0.06
γ₃	-0.3029	-0.23
γ₄	0.2034	0.18
γ₅	-0.1113	-0.05

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4704	0.08
α ARCH Response to squared shocks	0.1316	0.02
β GARCH Volatility persistence	0.8684	0.12

γ₁	-0.3838	-0.05
γ₂	0.5568	0.06
γ₃	-0.3029	-0.23
γ₄	0.2034	0.18
γ₅	-0.1113	-0.05

V-Lab

Kitabo Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kitabo Co Ltd Analyses