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	1.7157	4.13***
αARCH	0.2327	15.45***
βGARCH	0.7659	48.36***

γ₁	-0.0175	-3.14***
γ₂	0.0494	5.00***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7157	4.13***
α ARCH Response to squared shocks	0.2327	15.45***
β GARCH Volatility persistence	0.7659	48.36***

γ₁	-0.0175	-3.14***
γ₂	0.0494	5.00***

V-Lab

Kuk Young G&M Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kuk Young G&M Co Ltd Analyses