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	0.2864	2.63***
αARCH	0.0554	4.99***
βGARCH	0.9091	51.67***

γ₁	-0.3234	-3.48***
γ₂	0.3328	2.82***
γ₃	0.0906	1.83*
γ₄	-0.2816	-5.92***
γ₅	0.2236	3.15***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2864	2.63***
α ARCH Response to squared shocks	0.0554	4.99***
β GARCH Volatility persistence	0.9091	51.67***

γ₁	-0.3234	-3.48***
γ₂	0.3328	2.82***
γ₃	0.0906	1.83*
γ₄	-0.2816	-5.92***
γ₅	0.2236	3.15***

V-Lab

Hokkaidenko Corporation Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hokkaidenko Corporation Analyses