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	0.8362
αARCH	0.1330
βGARCH	0.8670

γ₁	-0.3435
γ₂	2.3005
γ₃	-4.4331
γ₄	3.4210
γ₅	-1.1979
γ₆	0.7562
γ₇	-1.0635
γ₈	0.6228
γ₉	0.4544

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8362
α ARCH Response to squared shocks	0.1330
β GARCH Volatility persistence	0.8670

γ₁	-0.3435
γ₂	2.3005
γ₃	-4.4331
γ₄	3.4210
γ₅	-1.1979
γ₆	0.7562
γ₇	-1.0635
γ₈	0.6228
γ₉	0.4544

V-Lab

Murree Brewery Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Murree Brewery Co Ltd Analyses