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	0.7402	0.12
αARCH	0.1399	0.02
βGARCH	0.8601	0.12

γ₁	-0.4965	-0.01
γ₂	0.6834	0.01
γ₃	-0.3206	-0.01
γ₄	0.3219	0.02

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7402	0.12
α ARCH Response to squared shocks	0.1399	0.02
β GARCH Volatility persistence	0.8601	0.12

γ₁	-0.4965	-0.01
γ₂	0.6834	0.01
γ₃	-0.3206	-0.01
γ₄	0.3219	0.02

V-Lab

Daewon Sanup Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Daewon Sanup Co Ltd Analyses