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	0.9306	0.48
αARCH	0.1821	0.01
βGARCH	0.8179	0.03

γ₁	-0.3428	-0.03
γ₂	0.3703	0.02
γ₃	-0.3655	0.00
γ₄	1.1888	0.00
γ₅	-1.7143	-0.01
γ₆	1.7299	0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9306	0.48
α ARCH Response to squared shocks	0.1821	0.01
β GARCH Volatility persistence	0.8179	0.03

γ₁	-0.3428	-0.03
γ₂	0.3703	0.02
γ₃	-0.3655	0.00
γ₄	1.1888	0.00
γ₅	-1.7143	-0.01
γ₆	1.7299	0.01

V-Lab

Wei Chih Steel Ind Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wei Chih Steel Ind Analyses