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	2.2008	5.36***
αARCH	0.1033	10.48***
βGARCH	0.8907	96.03***

γ₁	-0.0981	-5.35***
γ₂	0.2425	6.26***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2008	5.36***
α ARCH Response to squared shocks	0.1033	10.48***
β GARCH Volatility persistence	0.8907	96.03***

γ₁	-0.0981	-5.35***
γ₂	0.2425	6.26***

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Sugimura Warehouse Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sugimura Warehouse Co Ltd Analyses