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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6995	4.10***
α ARCH Response to squared shocks	0.1026	11.57***
β GARCH Volatility persistence	0.8858	86.23***

γ₁	0.0076	0.05
γ₂	-0.0051	-0.02
γ₃	-0.6174	-2.21**
γ₄	1.6326	4.53***
γ₅	-1.7036	-6.12***
γ₆	0.8677	5.01***
γ₇	-0.3262	-1.69*
γ₈	0.4984	1.90*
γ₉	-0.7620	-2.52**
γ₁₀	0.6196	1.80*

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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