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	0.5821	5.06***
αARCH	0.1600	3.50***
βGARCH	0.7657	13.62***

γ₁	-15.1037	-4.90***
γ₂	21.7565	3.99***
γ₃	-9.3947	-1.80*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5821	5.06***
α ARCH Response to squared shocks	0.1600	3.50***
β GARCH Volatility persistence	0.7657	13.62***

γ₁	-15.1037	-4.90***
γ₂	21.7565	3.99***
γ₃	-9.3947	-1.80*

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