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	1.7640	3.69***
αARCH	0.0357	3.58***
βGARCH	0.9300	53.63***

γ₁	0.0397	0.18
γ₂	-0.2633	-0.80
γ₃	0.3729	1.21
γ₄	0.1936	0.51
γ₅	-1.1671	-3.18***
γ₆	1.4521	4.71***
γ₇	-0.8781	-3.65***
γ₈	0.5353	2.62***
γ₉	-0.7258	-3.56***
γ₁₀	0.8165	2.67***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7640	3.69***
α ARCH Response to squared shocks	0.0357	3.58***
β GARCH Volatility persistence	0.9300	53.63***

γ₁	0.0397	0.18
γ₂	-0.2633	-0.80
γ₃	0.3729	1.21
γ₄	0.1936	0.51
γ₅	-1.1671	-3.18***
γ₆	1.4521	4.71***
γ₇	-0.8781	-3.65***
γ₈	0.5353	2.62***
γ₉	-0.7258	-3.56***
γ₁₀	0.8165	2.67***

V-Lab

Ceylon Tobacco Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ceylon Tobacco Co Ltd Analyses