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	0.7076	4.13***
αARCH	0.1004	11.43***
βGARCH	0.8884	87.25***

γ₁	0.0091	0.07
γ₂	-0.0076	-0.03
γ₃	-0.6286	-2.25**
γ₄	1.6717	4.55***
γ₅	-1.7433	-6.10***
γ₆	0.8763	5.09***
γ₇	-0.3115	-1.69*
γ₈	0.4848	1.91*
γ₉	-0.7956	-2.64***
γ₁₀	0.8032	2.16**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7076	4.13***
α ARCH Response to squared shocks	0.1004	11.43***
β GARCH Volatility persistence	0.8884	87.25***

γ₁	0.0091	0.07
γ₂	-0.0076	-0.03
γ₃	-0.6286	-2.25**
γ₄	1.6717	4.55***
γ₅	-1.7433	-6.10***
γ₆	0.8763	5.09***
γ₇	-0.3115	-1.69*
γ₈	0.4848	1.91*
γ₉	-0.7956	-2.64***
γ₁₀	0.8032	2.16**

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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