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

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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	0.9837	3.83***
αARCH	0.1411	12.76***
βGARCH	0.8251	60.94***

γ₁	0.0756	1.18
γ₂	-0.2991	-3.39***
γ₃	0.4633	9.23***
γ₄	-0.4099	-7.86***
γ₅	0.2135	3.35***
γ₆	-0.0054	-0.09
γ₇	-0.0949	-1.82*
γ₈	0.1679	1.97**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9837	3.83***
α ARCH Response to squared shocks	0.1411	12.76***
β GARCH Volatility persistence	0.8251	60.94***

γ₁	0.0756	1.18
γ₂	-0.2991	-3.39***
γ₃	0.4633	9.23***
γ₄	-0.4099	-7.86***
γ₅	0.2135	3.35***
γ₆	-0.0054	-0.09
γ₇	-0.0949	-1.82*
γ₈	0.1679	1.97**

V-Lab

Shinobu Foods Products Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shinobu Foods Products Co Analyses