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	2.7955	5.47***
αARCH	0.0735	5.06***
βGARCH	0.7726	13.34***

γ₁	0.1500	4.92***
γ₂	-0.3037	-6.58***
γ₃	0.2773	5.45***
γ₄	-0.1572	-2.94***
γ₅	0.0529	1.16
γ₆	-0.0677	-1.72*
γ₇	-0.0312	-0.65

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7955	5.47***
α ARCH Response to squared shocks	0.0735	5.06***
β GARCH Volatility persistence	0.7726	13.34***

γ₁	0.1500	4.92***
γ₂	-0.3037	-6.58***
γ₃	0.2773	5.45***
γ₄	-0.1572	-2.94***
γ₅	0.0529	1.16
γ₆	-0.0677	-1.72*
γ₇	-0.0312	-0.65

V-Lab

British American Tobacco Kenya Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other British American Tobacco Kenya Ltd Analyses