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	2.8144	5.51***
αARCH	0.0743	5.20***
βGARCH	0.7654	13.64***

γ₁	0.1437	4.83***
γ₂	-0.2902	-6.43***
γ₃	0.2661	5.29***
γ₄	-0.1524	-2.89***
γ₅	0.0520	1.16
γ₆	-0.0678	-1.74*
γ₇	-0.0322	-0.68

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.8144	5.51***
α ARCH Response to squared shocks	0.0743	5.20***
β GARCH Volatility persistence	0.7654	13.64***

γ₁	0.1437	4.83***
γ₂	-0.2902	-6.43***
γ₃	0.2661	5.29***
γ₄	-0.1524	-2.89***
γ₅	0.0520	1.16
γ₆	-0.0678	-1.74*
γ₇	-0.0322	-0.68

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