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	1.0961	4.05***
αARCH	0.1604	8.22***
βGARCH	0.8393	42.74***

γ₁	0.2701	0.64
γ₂	0.3303	0.58
γ₃	-5.0181	-5.45***
γ₄	11.0134	4.78***
γ₅	-10.0427	-4.60***
γ₆	4.4010	5.46***
γ₇	-2.1826	-5.04***
γ₈	2.6267	3.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0961	4.05***
α ARCH Response to squared shocks	0.1604	8.22***
β GARCH Volatility persistence	0.8393	42.74***

γ₁	0.2701	0.64
γ₂	0.3303	0.58
γ₃	-5.0181	-5.45***
γ₄	11.0134	4.78***
γ₅	-10.0427	-4.60***
γ₆	4.4010	5.46***
γ₇	-2.1826	-5.04***
γ₈	2.6267	3.63***

V-Lab

Biafo Industries Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Biafo Industries Ltd Analyses