How volatility evolves over time

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{name} Model Equation

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How returns affect tomorrow's illiquidity

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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	0.9253	3.88***
αARCH	0.1186	6.94***
βGARCH	0.7933	23.48***

γ₁	-0.0662	-0.90
γ₂	0.0411	0.38
γ₃	0.0544	0.84
γ₄	0.0159	0.28
γ₅	-0.4395	-5.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9253	3.88***
α ARCH Response to squared shocks	0.1186	6.94***
β GARCH Volatility persistence	0.7933	23.48***

γ₁	-0.0662	-0.90
γ₂	0.0411	0.38
γ₃	0.0544	0.84
γ₄	0.0159	0.28
γ₅	-0.4395	-5.92***

V-Lab

Williamson Tea Kenya Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Williamson Tea Kenya Ltd Analyses