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	1.1147	4.80***
αARCH	0.0875	10.56***
βGARCH	0.9097	129.81***

γ₁	-0.0753	-2.88***
γ₂	0.1124	3.07***
γ₃	-0.0497	-2.20**
γ₄	0.0307	1.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1147	4.80***
α ARCH Response to squared shocks	0.0875	10.56***
β GARCH Volatility persistence	0.9097	129.81***

γ₁	-0.0753	-2.88***
γ₂	0.1124	3.07***
γ₃	-0.0497	-2.20**
γ₄	0.0307	1.16

V-Lab

Barratt Redrow PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Barratt Redrow PLC Analyses