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	5.0000	0.24
αARCH	0.1295	0.97
βGARCH	0.8633	22.80***
γleverage	0.0144	0.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.24
α ARCH Response to squared shocks	0.1295	0.97
β GARCH Volatility persistence	0.8633	22.80***
γ leverage Additional response to negative shocks	0.0144	0.10

V-Lab

Teejay Lanka Plc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Teejay Lanka Plc Analyses