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	0.7788	4.92***
αARCH	0.0845	7.63***
βGARCH	0.9084	74.72***

γ₁	0.1028	5.48***
γ₂	-0.2242	-5.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7788	4.92***
α ARCH Response to squared shocks	0.0845	7.63***
β GARCH Volatility persistence	0.9084	74.72***

γ₁	0.1028	5.48***
γ₂	-0.2242	-5.98***

V-Lab

Fonterra Co-operative Group Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fonterra Co-operative Group Ltd Analyses