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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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.1644	3.32***
α ARCH Response to squared shocks	0.1645	6.76***
β GARCH Volatility persistence	0.7799	25.24***

γ₁	-0.1766	-0.71
γ₂	0.9080	2.46**
γ₃	-1.0456	-4.41***
γ₄	0.2345	1.16
γ₅	-0.2425	-1.10
γ₆	1.0455	4.21***

V-Lab

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