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	0.9635	3.86***
αARCH	0.1914	4.38***
βGARCH	0.8085	18.56***

γ₁	0.2580	0.13
γ₂	1.7778	0.58
γ₃	-13.9666	-2.35**
γ₄	29.7626	2.62***
γ₅	-26.1910	-2.60***
γ₆	7.0426	1.86*
γ₇	-1.2491	-0.31
γ₈	11.8327	1.15
γ₉	-15.2877	-1.56
γ₁₀	7.3569	1.99**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9635	3.86***
α ARCH Response to squared shocks	0.1914	4.38***
β GARCH Volatility persistence	0.8085	18.56***

γ₁	0.2580	0.13
γ₂	1.7778	0.58
γ₃	-13.9666	-2.35**
γ₄	29.7626	2.62***
γ₅	-26.1910	-2.60***
γ₆	7.0426	1.86*
γ₇	-1.2491	-0.31
γ₈	11.8327	1.15
γ₉	-15.2877	-1.56
γ₁₀	7.3569	1.99**

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Tokyo Cement Co (Lanka) Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tokyo Cement Co (Lanka) Ltd Analyses