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	1.4213	5.80***
αARCH	0.1525	19.60***
βGARCH	0.8331	98.52***

γ₁	0.1427	4.88***
γ₂	-0.3773	-8.45***
γ₃	0.4223	12.72***
γ₄	-0.2520	-8.04***
γ₅	0.1010	2.74***
γ₆	-0.0663	-1.78*
γ₇	0.0353	0.83

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4213	5.80***
α ARCH Response to squared shocks	0.1525	19.60***
β GARCH Volatility persistence	0.8331	98.52***

γ₁	0.1427	4.88***
γ₂	-0.3773	-8.45***
γ₃	0.4223	12.72***
γ₄	-0.2520	-8.04***
γ₅	0.1010	2.74***
γ₆	-0.0663	-1.78*
γ₇	0.0353	0.83

V-Lab

Press Kogyo Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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