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	15.0018	2.90***
αARCH	0.3850	8.02***
βGARCH	0.5733	11.13***

γ₁	13.5726	1.72*
γ₂	-52.9021	-3.11***
γ₃	97.1545	4.93***
γ₄	-86.4722	-5.84***
γ₅	35.1526	6.40***
γ₆	-9.6005	-3.89***
γ₇	6.9170	1.60

Parameter	Value	t-statistic
ω const Unconditional variance weight	15.0018	2.90***
α ARCH Response to squared shocks	0.3850	8.02***
β GARCH Volatility persistence	0.5733	11.13***

γ₁	13.5726	1.72*
γ₂	-52.9021	-3.11***
γ₃	97.1545	4.93***
γ₄	-86.4722	-5.84***
γ₅	35.1526	6.40***
γ₆	-9.6005	-3.89***
γ₇	6.9170	1.60

V-Lab

Taiwan Auto-Design Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Taiwan Auto-Design Co Analyses