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	0.5508	4.80***
αARCH	0.1673	3.52***
βGARCH	0.7576	12.28***

γ₁	-16.7634	-4.00***
γ₂	22.4107	3.09***
γ₃	-4.7677	-0.76

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5508	4.80***
α ARCH Response to squared shocks	0.1673	3.52***
β GARCH Volatility persistence	0.7576	12.28***

γ₁	-16.7634	-4.00***
γ₂	22.4107	3.09***
γ₃	-4.7677	-0.76

V-Lab

GFI Co Ltd/Korea Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other GFI Co Ltd/Korea Analyses