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	0.6536	4.17***
α ARCH Response to squared shocks	0.1404	12.59***
β GARCH Volatility persistence	0.8431	70.73***

γ₁	-0.3483	-7.80***
γ₂	0.5793	7.97***
γ₃	-0.4106	-6.29***
γ₄	0.2246	3.51***
γ₅	0.0369	0.57
γ₆	-0.3227	-3.80***

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