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	0.7926	5.04***
αARCH	0.1095	1.66*
βGARCH	0.7026	4.58***

γ₁	-7.5791	-2.63***
γ₂	12.2472	2.93***
γ₃	-12.2614	-3.75***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7926	5.04***
α ARCH Response to squared shocks	0.1095	1.66*
β GARCH Volatility persistence	0.7026	4.58***

γ₁	-7.5791	-2.63***
γ₂	12.2472	2.93***
γ₃	-12.2614	-3.75***

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K - UNO Co Ltd Spline ILLIQ Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other K - UNO Co Ltd Analyses