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	0.4642	4.97***
αARCH	0.1164	12.80***
βGARCH	0.8625	82.46***

γ₁	-0.0186	-0.43
γ₂	-0.1136	-1.78*
γ₃	0.2532	5.57***
γ₄	-0.2520	-6.03***
γ₅	0.2338	5.51***
γ₆	-0.1239	-2.87***
γ₇	0.0131	0.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4642	4.97***
α ARCH Response to squared shocks	0.1164	12.80***
β GARCH Volatility persistence	0.8625	82.46***

γ₁	-0.0186	-0.43
γ₂	-0.1136	-1.78*
γ₃	0.2532	5.57***
γ₄	-0.2520	-6.03***
γ₅	0.2338	5.51***
γ₆	-0.1239	-2.87***
γ₇	0.0131	0.21

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