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	1.5372	3.77***
α ARCH Response to squared shocks	0.1136	8.33***
β GARCH Volatility persistence	0.8759	60.76***

γ₁	-0.3048	-3.34***
γ₂	0.6083	4.62***
γ₃	-0.6682	-8.00***
γ₄	0.6971	7.03***
γ₅	-0.4879	-4.34***
γ₆	0.1673	1.26

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