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	8.5963	3.04***
αARCH	0.3429	6.38***
βGARCH	0.6185	12.04***

γ₁	5.6919	1.65*
γ₂	-33.0266	-4.45***
γ₃	68.0668	8.29***
γ₄	-56.7877	-9.31***
γ₅	14.9929	4.96***
γ₆	4.6301	1.97**
γ₇	-6.7929	-3.77***
γ₈	3.5951	2.33**
γ₉	2.7436	1.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	8.5963	3.04***
α ARCH Response to squared shocks	0.3429	6.38***
β GARCH Volatility persistence	0.6185	12.04***

γ₁	5.6919	1.65*
γ₂	-33.0266	-4.45***
γ₃	68.0668	8.29***
γ₄	-56.7877	-9.31***
γ₅	14.9929	4.96***
γ₆	4.6301	1.97**
γ₇	-6.7929	-3.77***
γ₈	3.5951	2.33**
γ₉	2.7436	1.21

V-Lab

Tsi Co., Ltd. Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tsi Co., Ltd. Analyses