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	0.6653	4.15***
αARCH	0.1402	12.67***
βGARCH	0.8438	71.46***

γ₁	-0.3427	-7.80***
γ₂	0.5716	8.01***
γ₃	-0.4116	-6.40***
γ₄	0.2359	3.67***
γ₅	0.0180	0.28
γ₆	-0.3016	-3.51***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6653	4.15***
α ARCH Response to squared shocks	0.1402	12.67***
β GARCH Volatility persistence	0.8438	71.46***

γ₁	-0.3427	-7.80***
γ₂	0.5716	8.01***
γ₃	-0.4116	-6.40***
γ₄	0.2359	3.67***
γ₅	0.0180	0.28
γ₆	-0.3016	-3.51***

V-Lab

Yutaka Trusty Securities Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yutaka Trusty Securities Co Analyses