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	1.3267	3.20***
αARCH	0.1142	8.96***
βGARCH	0.8734	58.76***

γ₁	-0.4576	-3.82***
γ₂	0.7999	4.39***
γ₃	-0.5014	-3.34***
γ₄	0.0187	0.15
γ₅	0.4747	4.99***
γ₆	-0.6076	-6.01***
γ₇	0.4495	2.87***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3267	3.20***
α ARCH Response to squared shocks	0.1142	8.96***
β GARCH Volatility persistence	0.8734	58.76***

γ₁	-0.4576	-3.82***
γ₂	0.7999	4.39***
γ₃	-0.5014	-3.34***
γ₄	0.0187	0.15
γ₅	0.4747	4.99***
γ₆	-0.6076	-6.01***
γ₇	0.4495	2.87***

V-Lab

Tohoku Steel Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tohoku Steel Co Ltd Analyses