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	0.8122	4.12***
αARCH	0.1691	20.76***
βGARCH	0.8270	101.69***

γ₁	-0.1012	-7.94***
γ₂	0.1455	7.95***
γ₃	-0.0501	-4.06***
γ₄	0.0279	1.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8122	4.12***
α ARCH Response to squared shocks	0.1691	20.76***
β GARCH Volatility persistence	0.8270	101.69***

γ₁	-0.1012	-7.94***
γ₂	0.1455	7.95***
γ₃	-0.0501	-4.06***
γ₄	0.0279	1.31

V-Lab

Nippon Chemiphar Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nippon Chemiphar Co Ltd Analyses