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	12.4244	2.97***
αARCH	0.3072	16.18***
βGARCH	0.6845	47.44***

γ₁	-0.0104	-0.05
γ₂	0.0236	0.08
γ₃	0.2584	0.60
γ₄	-6.1191	-1.73*
γ₅	11.7026	1.48
γ₆	-7.8447	-1.30
γ₇	7.7768	1.85*
γ₈	-6.2550	-1.41
γ₉	-4.5975	-1.64

Parameter	Value	t-statistic
ω const Unconditional variance weight	12.4244	2.97***
α ARCH Response to squared shocks	0.3072	16.18***
β GARCH Volatility persistence	0.6845	47.44***

γ₁	-0.0104	-0.05
γ₂	0.0236	0.08
γ₃	0.2584	0.60
γ₄	-6.1191	-1.73*
γ₅	11.7026	1.48
γ₆	-7.8447	-1.30
γ₇	7.7768	1.85*
γ₈	-6.2550	-1.41
γ₉	-4.5975	-1.64

V-Lab

Islami Bank Bangladesh Ltd Plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Islami Bank Bangladesh Ltd Plc Analyses