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
mwindow	26
αARCH	0.1516	9.27***
βGARCH	0.7200	25.08***
γleverage	-0.1425	-6.92***
λ₁tau intercept	4.7973	1.74*
λ₂forecast adj.	0.1823	4.01***
λ₃tau persistence	0.8177	18.67***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1516	9.27***
β GARCH Volatility persistence	0.7200	25.08***
γ leverage Additional response to negative shocks	-0.1425	-6.92***
λ₁ tau intercept Baseline long-term coefficient	4.7973	1.74*
λ₂ forecast adj. Forecast performance sensitivity	0.1823	4.01***
λ₃ tau persistence Long-term factor persistence	0.8177	18.67***

V-Lab

Koei Chem Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Koei Chem Co Ltd Analyses