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	0.4650	4.98***
αARCH	0.1164	12.79***
βGARCH	0.8625	82.36***

γ₁	-0.0174	-0.40
γ₂	-0.1159	-1.81*
γ₃	0.2553	5.61***
γ₄	-0.2534	-6.04***
γ₅	0.2336	5.47***
γ₆	-0.1214	-2.79***
γ₇	0.0091	0.14

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4650	4.98***
α ARCH Response to squared shocks	0.1164	12.79***
β GARCH Volatility persistence	0.8625	82.36***

γ₁	-0.0174	-0.40
γ₂	-0.1159	-1.81*
γ₃	0.2553	5.61***
γ₄	-0.2534	-6.04***
γ₅	0.2336	5.47***
γ₆	-0.1214	-2.79***
γ₇	0.0091	0.14

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