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	1.1691	0.87
αARCH	0.0587	0.05
βGARCH	0.9413	0.78

γ₁	-0.0692	-0.02
γ₂	0.0994	0.02

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1691	0.87
α ARCH Response to squared shocks	0.0587	0.05
β GARCH Volatility persistence	0.9413	0.78

γ₁	-0.0692	-0.02
γ₂	0.0994	0.02

V-Lab

Kier Group PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kier Group PLC Analyses