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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7477	3.15***
α ARCH Response to squared shocks	0.1359	9.97***
β GARCH Volatility persistence	0.8515	55.49***

γ₁	0.2886	1.13
γ₂	-0.8714	-2.26**
γ₃	1.1656	4.68***
γ₄	-1.1749	-5.75***
γ₅	0.8465	3.85***
γ₆	0.0347	0.16
γ₇	-0.9875	-4.33***
γ₈	1.5927	6.46***
γ₉	-1.5433	-3.96***

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