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	1.3677	5.50***
αARCH	0.1018	11.18***
βGARCH	0.8950	97.63***

γ₁	0.0516	2.33**
γ₂	-0.2337	-5.25***
γ₃	0.5124	7.54***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3677	5.50***
α ARCH Response to squared shocks	0.1018	11.18***
β GARCH Volatility persistence	0.8950	97.63***

γ₁	0.0516	2.33**
γ₂	-0.2337	-5.25***
γ₃	0.5124	7.54***

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Enshu Truck Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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