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
αARCH	0.2920	10.06***
βGARCH	0.6926	16.58***
γleverage	-0.1056	-1.73*
λ₁tau intercept	1,481.9290

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.2920	10.06***
β GARCH Volatility persistence	0.6926	16.58***
γ leverage Additional response to negative shocks	-0.1056	-1.73*
λ₁ tau intercept Baseline long-term coefficient	1,481.9290

V-Lab

W Tokyo Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other W Tokyo Inc Analyses