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	0.9316	3.28***
αARCH	0.1331	12.45***
βGARCH	0.8501	74.92***

γ₁	-0.6689	-6.97***
γ₂	1.0648	8.26***
γ₃	-0.6166	-7.99***
γ₄	0.1572	1.91*
γ₅	0.2018	2.54**
γ₆	-0.0566	-0.75
γ₇	-0.2668	-2.44**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9316	3.28***
α ARCH Response to squared shocks	0.1331	12.45***
β GARCH Volatility persistence	0.8501	74.92***

γ₁	-0.6689	-6.97***
γ₂	1.0648	8.26***
γ₃	-0.6166	-7.99***
γ₄	0.1572	1.91*
γ₅	0.2018	2.54**
γ₆	-0.0566	-0.75
γ₇	-0.2668	-2.44**

V-Lab

Koei Chem Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Koei Chem Co Ltd Analyses