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	1.1545
αARCH	0.1459
βGARCH	0.8541

γ₁	-2.0639
γ₂	5.1122
γ₃	-1.5498
γ₄	-4.7406
γ₅	3.8871
γ₆	-0.2821
γ₇	-1.1100
γ₈	1.4583
γ₉	-1.6145
γ₁₀	2.5433

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1545
α ARCH Response to squared shocks	0.1459
β GARCH Volatility persistence	0.8541

γ₁	-2.0639
γ₂	5.1122
γ₃	-1.5498
γ₄	-4.7406
γ₅	3.8871
γ₆	-0.2821
γ₇	-1.1100
γ₈	1.4583
γ₉	-1.6145
γ₁₀	2.5433

V-Lab

Central Finance Co (Lanka) Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Central Finance Co (Lanka) Analyses