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	0.7545	3.15***
αARCH	0.1368	9.95***
βGARCH	0.8507	54.87***

γ₁	0.2874	1.13
γ₂	-0.8692	-2.26**
γ₃	1.1642	4.67***
γ₄	-1.1748	-5.74***
γ₅	0.8520	3.87***
γ₆	0.0216	0.10
γ₇	-0.9830	-4.34***
γ₈	1.6333	6.73***
γ₉	-1.7297	-4.94***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7545	3.15***
α ARCH Response to squared shocks	0.1368	9.95***
β GARCH Volatility persistence	0.8507	54.87***

γ₁	0.2874	1.13
γ₂	-0.8692	-2.26**
γ₃	1.1642	4.67***
γ₄	-1.1748	-5.74***
γ₅	0.8520	3.87***
γ₆	0.0216	0.10
γ₇	-0.9830	-4.34***
γ₈	1.6333	6.73***
γ₉	-1.7297	-4.94***

V-Lab

Tomita Electric Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tomita Electric Co Ltd Analyses