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	0.3895	1.37
αARCH	0.2250	5.85***
βGARCH	0.7152	13.63***

γ₁	-16.7339	-6.61***
γ₂	27.0411	8.74***
γ₃	-15.4528	-16.13***
γ₄	8.3900	11.63***
γ₅	-3.8856	-4.95***
γ₆	0.3029	0.29
γ₇	0.0877	0.06

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3895	1.37
α ARCH Response to squared shocks	0.2250	5.85***
β GARCH Volatility persistence	0.7152	13.63***

γ₁	-16.7339	-6.61***
γ₂	27.0411	8.74***
γ₃	-15.4528	-16.13***
γ₄	8.3900	11.63***
γ₅	-3.8856	-4.95***
γ₆	0.3029	0.29
γ₇	0.0877	0.06

V-Lab

Kura Sushi Asia Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kura Sushi Asia Co Ltd Analyses