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

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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	2.7164	3.80***
αARCH	0.1389	6.57***
βGARCH	0.8586	40.57***

γ₁	-0.4464	-0.81
γ₂	1.5314	1.72*
γ₃	-2.3048	-3.58***
γ₄	3.0028	3.94***
γ₅	-5.9694	-2.52**
γ₆	9.1276	2.01**
γ₇	-6.5373	-1.67*
γ₈	0.6251	0.43
γ₉	1.2962	1.99**
γ₁₀	0.1217	0.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7164	3.80***
α ARCH Response to squared shocks	0.1389	6.57***
β GARCH Volatility persistence	0.8586	40.57***

γ₁	-0.4464	-0.81
γ₂	1.5314	1.72*
γ₃	-2.3048	-3.58***
γ₄	3.0028	3.94***
γ₅	-5.9694	-2.52**
γ₆	9.1276	2.01**
γ₇	-6.5373	-1.67*
γ₈	0.6251	0.43
γ₉	1.2962	1.99**
γ₁₀	0.1217	0.10

V-Lab

Lanka Realty Investments Plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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