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	21
αARCH	0.2227	12.60***
βGARCH	0.6694	24.67***
γleverage	-0.1758	-7.66***
λ₁tau intercept	7.6909	1.30
λ₂forecast adj.	0.2057	3.89***
λ₃tau persistence	0.7943	15.48***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2227	12.60***
β GARCH Volatility persistence	0.6694	24.67***
γ leverage Additional response to negative shocks	-0.1758	-7.66***
λ₁ tau intercept Baseline long-term coefficient	7.6909	1.30
λ₂ forecast adj. Forecast performance sensitivity	0.2057	3.89***
λ₃ tau persistence Long-term factor persistence	0.7943	15.48***

V-Lab

Japan Reliance Service Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Japan Reliance Service Corp Analyses