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	2.8041	5.49***
αARCH	0.0736	5.05***
βGARCH	0.7717	13.22***

γ₁	0.1519	4.97***
γ₂	-0.3065	-6.59***
γ₃	0.2784	5.42***
γ₄	-0.1571	-2.92***
γ₅	0.0526	1.15
γ₆	-0.0666	-1.69*
γ₇	-0.0341	-0.71

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.8041	5.49***
α ARCH Response to squared shocks	0.0736	5.05***
β GARCH Volatility persistence	0.7717	13.22***

γ₁	0.1519	4.97***
γ₂	-0.3065	-6.59***
γ₃	0.2784	5.42***
γ₄	-0.1571	-2.92***
γ₅	0.0526	1.15
γ₆	-0.0666	-1.69*
γ₇	-0.0341	-0.71

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