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	1.3231	3.20***
αARCH	0.1138	8.97***
βGARCH	0.8738	58.82***

γ₁	-0.4580	-3.83***
γ₂	0.8013	4.40***
γ₃	-0.5048	-3.37***
γ₄	0.0246	0.19
γ₅	0.4684	4.92***
γ₆	-0.6030	-5.98***
γ₇	0.4391	2.81***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3231	3.20***
α ARCH Response to squared shocks	0.1138	8.97***
β GARCH Volatility persistence	0.8738	58.82***

γ₁	-0.4580	-3.83***
γ₂	0.8013	4.40***
γ₃	-0.5048	-3.37***
γ₄	0.0246	0.19
γ₅	0.4684	4.92***
γ₆	-0.6030	-5.98***
γ₇	0.4391	2.81***

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