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	0.8544	2.69***
αARCH	0.1448	5.25***
βGARCH	0.6455	8.16***

γ₁	-34.8495	-5.62***
γ₂	49.0321	5.67***
γ₃	-8.7135	-2.36**
γ₄	-9.7577	-4.96***
γ₅	3.1740	2.06**
γ₆	6.0883	3.97***
γ₇	-6.8834	-4.53***
γ₈	2.6313	1.55
γ₉	-1.4123	-0.66
γ₁₀	4.5474	1.60

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8544	2.69***
α ARCH Response to squared shocks	0.1448	5.25***
β GARCH Volatility persistence	0.6455	8.16***

γ₁	-34.8495	-5.62***
γ₂	49.0321	5.67***
γ₃	-8.7135	-2.36**
γ₄	-9.7577	-4.96***
γ₅	3.1740	2.06**
γ₆	6.0883	3.97***
γ₇	-6.8834	-4.53***
γ₈	2.6313	1.55
γ₉	-1.4123	-0.66
γ₁₀	4.5474	1.60

V-Lab

BTB Korea Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BTB Korea Co Ltd Analyses