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	0.5928	5.13***
αARCH	0.1555	3.43***
βGARCH	0.7685	13.78***

γ₁	-14.2643	-5.06***
γ₂	20.5353	4.11***
γ₃	-8.2078	-1.60

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5928	5.13***
α ARCH Response to squared shocks	0.1555	3.43***
β GARCH Volatility persistence	0.7685	13.78***

γ₁	-14.2643	-5.06***
γ₂	20.5353	4.11***
γ₃	-8.2078	-1.60

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