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
αARCH	0.2984	14.40***
βGARCH	0.7155	32.78***
γleverage	-0.0501	-2.68***
λ₁tau intercept	51.6194

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.2984	14.40***
β GARCH Volatility persistence	0.7155	32.78***
γ leverage Additional response to negative shocks	-0.0501	-2.68***
λ₁ tau intercept Baseline long-term coefficient	51.6194

V-Lab

K-Auction Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other K-Auction Co Ltd Analyses