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	0.7490	2.18**
αARCH	0.1575	0.05
βGARCH	0.8425	0.27

γ₁	-0.1811	-0.38
γ₂	0.1555	0.19
γ₃	0.1438	0.17

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7490	2.18**
α ARCH Response to squared shocks	0.1575	0.05
β GARCH Volatility persistence	0.8425	0.27

γ₁	-0.1811	-0.38
γ₂	0.1555	0.19
γ₃	0.1438	0.17

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Jorudan Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jorudan Co Ltd Analyses