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	1.5173	0.38
αARCH	0.1151	0.10
βGARCH	0.8848	0.76

γ₁	-0.1163	-0.62
γ₂	0.1695	0.67
γ₃	-0.0894	-1.09

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5173	0.38
α ARCH Response to squared shocks	0.1151	0.10
β GARCH Volatility persistence	0.8848	0.76

γ₁	-0.1163	-0.62
γ₂	0.1695	0.67
γ₃	-0.0894	-1.09

V-Lab

Yamada Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yamada Corp Analyses