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	0.8354	2.67***
αARCH	0.1467	5.19***
βGARCH	0.6347	7.60***

γ₁	-35.3234	-5.63***
γ₂	49.4366	5.67***
γ₃	-8.5041	-2.29**
γ₄	-9.6402	-4.83***
γ₅	2.4837	1.57
γ₆	6.7044	4.27***
γ₇	-7.0009	-4.51***
γ₈	2.7011	1.57
γ₉	-2.3415	-1.11
γ₁₀	8.0227	2.71***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8354	2.67***
α ARCH Response to squared shocks	0.1467	5.19***
β GARCH Volatility persistence	0.6347	7.60***

γ₁	-35.3234	-5.63***
γ₂	49.4366	5.67***
γ₃	-8.5041	-2.29**
γ₄	-9.6402	-4.83***
γ₅	2.4837	1.57
γ₆	6.7044	4.27***
γ₇	-7.0009	-4.51***
γ₈	2.7011	1.57
γ₉	-2.3415	-1.11
γ₁₀	8.0227	2.71***

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