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	1.9405	6.44***
αARCH	0.1070	8.80***
βGARCH	0.8580	54.57***

γ₁	0.1926	4.33***
γ₂	-0.3663	-5.00***
γ₃	0.3711	6.22***
γ₄	-0.2964	-4.88***
γ₅	-0.0645	-0.74

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9405	6.44***
α ARCH Response to squared shocks	0.1070	8.80***
β GARCH Volatility persistence	0.8580	54.57***

γ₁	0.1926	4.33***
γ₂	-0.3663	-5.00***
γ₃	0.3711	6.22***
γ₄	-0.2964	-4.88***
γ₅	-0.0645	-0.74

V-Lab

Seiryo Electric Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Seiryo Electric Corp Analyses