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	1.0388	3.16***
αARCH	0.1112	9.50***
βGARCH	0.8648	65.21***

γ₁	0.0772	1.05
γ₂	-0.3062	-3.05***
γ₃	0.5244	7.97***
γ₄	-0.5521	-8.55***
γ₅	0.4193	5.30***
γ₆	-0.2108	-2.57**
γ₇	-0.0176	-0.18

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0388	3.16***
α ARCH Response to squared shocks	0.1112	9.50***
β GARCH Volatility persistence	0.8648	65.21***

γ₁	0.0772	1.05
γ₂	-0.3062	-3.05***
γ₃	0.5244	7.97***
γ₄	-0.5521	-8.55***
γ₅	0.4193	5.30***
γ₆	-0.2108	-2.57**
γ₇	-0.0176	-0.18

V-Lab

Nikki Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nikki Co Ltd Analyses