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	1.0347	3.15***
αARCH	0.1109	9.53***
βGARCH	0.8652	65.47***

γ₁	0.0783	1.06
γ₂	-0.3098	-3.07***
γ₃	0.5279	7.97***
γ₄	-0.5498	-8.32***
γ₅	0.4070	5.05***
γ₆	-0.1883	-2.28**
γ₇	-0.0560	-0.59

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0347	3.15***
α ARCH Response to squared shocks	0.1109	9.53***
β GARCH Volatility persistence	0.8652	65.47***

γ₁	0.0783	1.06
γ₂	-0.3098	-3.07***
γ₃	0.5279	7.97***
γ₄	-0.5498	-8.32***
γ₅	0.4070	5.05***
γ₆	-0.1883	-2.28**
γ₇	-0.0560	-0.59

V-Lab

Nikki Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nikki Co Ltd Analyses