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	1.1701	4.20***
αARCH	0.1311	13.29***
βGARCH	0.8571	73.75***

γ₁	0.1026	2.85***
γ₂	-0.2582	-4.65***
γ₃	0.3225	7.31***
γ₄	-0.3233	-7.86***
γ₅	0.3220	8.76***
γ₆	-0.3821	-8.00***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1701	4.20***
α ARCH Response to squared shocks	0.1311	13.29***
β GARCH Volatility persistence	0.8571	73.75***

γ₁	0.1026	2.85***
γ₂	-0.2582	-4.65***
γ₃	0.3225	7.31***
γ₄	-0.3233	-7.86***
γ₅	0.3220	8.76***
γ₆	-0.3821	-8.00***

V-Lab

Morio Denki Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Morio Denki Co Ltd Analyses