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	0.9735	6.69***
αARCH	0.1595	14.72***
βGARCH	0.8402	81.49***

γ₁	0.3344	0.77
γ₂	-1.0181	-2.19**
γ₃	1.0782	8.83***
γ₄	-0.2398	-1.90*
γ₅	-0.4826	-3.84***
γ₆	0.5252	5.48***
γ₇	-0.2317	-1.95*
γ₈	-0.4830	-1.54
γ₉	1.8158	2.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9735	6.69***
α ARCH Response to squared shocks	0.1595	14.72***
β GARCH Volatility persistence	0.8402	81.49***

γ₁	0.3344	0.77
γ₂	-1.0181	-2.19**
γ₃	1.0782	8.83***
γ₄	-0.2398	-1.90*
γ₅	-0.4826	-3.84***
γ₆	0.5252	5.48***
γ₇	-0.2317	-1.95*
γ₈	-0.4830	-1.54
γ₉	1.8158	2.92***

V-Lab

Daiun Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Daiun Co Ltd Analyses