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	0.4635	4.96***
αARCH	0.1173	12.86***
βGARCH	0.8617	82.20***

γ₁	-0.0201	-0.47
γ₂	-0.1110	-1.74*
γ₃	0.2515	5.53***
γ₄	-0.2513	-6.03***
γ₅	0.2357	5.58***
γ₆	-0.1307	-3.04***
γ₇	0.0333	0.53

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4635	4.96***
α ARCH Response to squared shocks	0.1173	12.86***
β GARCH Volatility persistence	0.8617	82.20***

γ₁	-0.0201	-0.47
γ₂	-0.1110	-1.74*
γ₃	0.2515	5.53***
γ₄	-0.2513	-6.03***
γ₅	0.2357	5.58***
γ₆	-0.1307	-3.04***
γ₇	0.0333	0.53

V-Lab

Nichiwa Sangyo Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nichiwa Sangyo Co Ltd Analyses