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	0.8081	4.12***
αARCH	0.1685	20.78***
βGARCH	0.8276	102.26***

γ₁	-0.1007	-7.97***
γ₂	0.1450	7.99***
γ₃	-0.0511	-4.19***
γ₄	0.0316	1.50

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8081	4.12***
α ARCH Response to squared shocks	0.1685	20.78***
β GARCH Volatility persistence	0.8276	102.26***

γ₁	-0.1007	-7.97***
γ₂	0.1450	7.99***
γ₃	-0.0511	-4.19***
γ₄	0.0316	1.50

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