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	1.3521	2.79***
αARCH	0.4209	5.88***
βGARCH	0.3233	4.41***

γ₁	6.1177	2.93***
γ₂	-9.3514	-2.59***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3521	2.79***
α ARCH Response to squared shocks	0.4209	5.88***
β GARCH Volatility persistence	0.3233	4.41***

γ₁	6.1177	2.93***
γ₂	-9.3514	-2.59***

V-Lab

Barkat Frisian Agro Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Barkat Frisian Agro Limited Analyses