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	0.2867	2.64***
αARCH	0.0552	4.99***
βGARCH	0.9094	51.81***

γ₁	-0.3228	-3.50***
γ₂	0.3338	2.85***
γ₃	0.0873	1.77*
γ₄	-0.2817	-5.99***
γ₅	0.2342	3.33***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2867	2.64***
α ARCH Response to squared shocks	0.0552	4.99***
β GARCH Volatility persistence	0.9094	51.81***

γ₁	-0.3228	-3.50***
γ₂	0.3338	2.85***
γ₃	0.0873	1.77*
γ₄	-0.2817	-5.99***
γ₅	0.2342	3.33***

V-Lab

Hokkaidenko Corporation Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hokkaidenko Corporation Analyses