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	1.5284	6.46***
α ARCH Response to squared shocks	0.0831	9.42***
β GARCH Volatility persistence	0.8816	64.52***

γ₁	0.1905	3.14***
γ₂	-0.4346	-4.95***
γ₃	0.4731	7.89***
γ₄	-0.3424	-5.20***
γ₅	0.1571	2.38**
γ₆	-0.0378	-0.61
γ₇	-0.0181	-0.24
γ₈	-0.1315	-1.12

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Denkyo Group Holdings Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Denkyo Group Holdings Co Ltd Analyses