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	3.0555	2.81***
αARCH	0.1670	6.73***
βGARCH	0.7737	24.50***

γ₁	-0.4650	-0.61
γ₂	0.8146	0.68
γ₃	0.2234	0.22
γ₄	-0.2453	-0.23
γ₅	-0.9547	-0.96
γ₆	0.5739	0.74
γ₇	0.3379	0.44
γ₈	-1.7893	-2.08**
γ₉	3.6391	3.28***
γ₁₀	-4.1877	-2.81***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0555	2.81***
α ARCH Response to squared shocks	0.1670	6.73***
β GARCH Volatility persistence	0.7737	24.50***

γ₁	-0.4650	-0.61
γ₂	0.8146	0.68
γ₃	0.2234	0.22
γ₄	-0.2453	-0.23
γ₅	-0.9547	-0.96
γ₆	0.5739	0.74
γ₇	0.3379	0.44
γ₈	-1.7893	-2.08**
γ₉	3.6391	3.28***
γ₁₀	-4.1877	-2.81***

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United Insur Co OF Pakistan Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other United Insur Co OF Pakistan Analyses