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	0.7070	4.13***
αARCH	0.1009	11.45***
βGARCH	0.8878	86.93***

γ₁	0.0097	0.07
γ₂	-0.0080	-0.04
γ₃	-0.6249	-2.24**
γ₄	1.6587	4.54***
γ₅	-1.7298	-6.10***
γ₆	0.8729	5.06***
γ₇	-0.3159	-1.68*
γ₈	0.4886	1.90*
γ₉	-0.7821	-2.57**
γ₁₀	0.7303	1.98**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7070	4.13***
α ARCH Response to squared shocks	0.1009	11.45***
β GARCH Volatility persistence	0.8878	86.93***

γ₁	0.0097	0.07
γ₂	-0.0080	-0.04
γ₃	-0.6249	-2.24**
γ₄	1.6587	4.54***
γ₅	-1.7298	-6.10***
γ₆	0.8729	5.06***
γ₇	-0.3159	-1.68*
γ₈	0.4886	1.90*
γ₉	-0.7821	-2.57**
γ₁₀	0.7303	1.98**

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Nihon Kogyo Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nihon Kogyo Co Ltd Analyses