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	1.4899	3.47***
αARCH	0.1011	10.61***
βGARCH	0.8958	94.21***

γ₁	-0.2005	-4.56***
γ₂	0.2977	4.43***
γ₃	-0.0573	-0.69

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4899	3.47***
α ARCH Response to squared shocks	0.1011	10.61***
β GARCH Volatility persistence	0.8958	94.21***

γ₁	-0.2005	-4.56***
γ₂	0.2977	4.43***
γ₃	-0.0573	-0.69

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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