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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	0.7123
αARCH	0.1878
βGARCH	0.8122

γ₁	2.0004
γ₂	-6.0217
γ₃	7.5789
γ₄	-7.3731
γ₅	8.1243
γ₆	-6.6235
γ₇	2.3177
γ₈	0.6982
γ₉	-1.2345
γ₁₀	0.0321

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7123
α ARCH Response to squared shocks	0.1878
β GARCH Volatility persistence	0.8122

γ₁	2.0004
γ₂	-6.0217
γ₃	7.5789
γ₄	-7.3731
γ₅	8.1243
γ₆	-6.6235
γ₇	2.3177
γ₈	0.6982
γ₉	-1.2345
γ₁₀	0.0321

V-Lab

Service Industries Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Service Industries Ltd Analyses