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	0.2856	2.62***
αARCH	0.0557	5.00***
βGARCH	0.9086	51.47***

γ₁	-0.3250	-3.45***
γ₂	0.3321	2.78***
γ₃	0.0946	1.89*
γ₄	-0.2777	-5.74***
γ₅	0.1937	2.68***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2856	2.62***
α ARCH Response to squared shocks	0.0557	5.00***
β GARCH Volatility persistence	0.9086	51.47***

γ₁	-0.3250	-3.45***
γ₂	0.3321	2.78***
γ₃	0.0946	1.89*
γ₄	-0.2777	-5.74***
γ₅	0.1937	2.68***

V-Lab

Hokkaidenko Corporation Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hokkaidenko Corporation Analyses