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
mwindow	116
αARCH	0.0809	3.42***
βGARCH	0.8680	18.43***
γleverage	-0.0809	-3.19***
λ₁tau intercept	10.0000	1.16
λ₂forecast adj.	0.0516	7.26***
λ₃tau persistence	0.9481	117.18***

Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.0809	3.42***
β GARCH Volatility persistence	0.8680	18.43***
γ leverage Additional response to negative shocks	-0.0809	-3.19***
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.16
λ₂ forecast adj. Forecast performance sensitivity	0.0516	7.26***
λ₃ tau persistence Long-term factor persistence	0.9481	117.18***

V-Lab

Kyoei Security Service Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kyoei Security Service Co Analyses