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	0.8925	4.43***
αARCH	0.1730	13.41***
βGARCH	0.8268	64.03***

γ₁	-0.2386	-6.92***
γ₂	0.3390	6.67***
γ₃	-0.1953	-4.32***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8925	4.43***
α ARCH Response to squared shocks	0.1730	13.41***
β GARCH Volatility persistence	0.8268	64.03***

γ₁	-0.2386	-6.92***
γ₂	0.3390	6.67***
γ₃	-0.1953	-4.32***

V-Lab

Kanemitsu Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kanemitsu Corp Analyses