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
mwindow	56
αARCH	0.1295	8.16***
βGARCH	0.7371	10.59***
γleverage	0.1309	1.61
λ₁tau intercept	0.1167	1.58
λ₂forecast adj.	0.7547	4.05***
λ₃tau persistence	0.2453	1.58

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1295	8.16***
β GARCH Volatility persistence	0.7371	10.59***
γ leverage Additional response to negative shocks	0.1309	1.61
λ₁ tau intercept Baseline long-term coefficient	0.1167	1.58
λ₂ forecast adj. Forecast performance sensitivity	0.7547	4.05***
λ₃ tau persistence Long-term factor persistence	0.2453	1.58

V-Lab

NH Investment & Securities Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NH Investment & Securities Co Ltd Analyses