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
mwindow	21
αARCH	0.1811	11.34***
βGARCH	0.7359	32.99***
γleverage	-0.1811	-9.84***
λ₁tau intercept	10.0000	1.07
λ₂forecast adj.	0.1201	3.66***
λ₃tau persistence	0.8799	27.28***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1811	11.34***
β GARCH Volatility persistence	0.7359	32.99***
γ leverage Additional response to negative shocks	-0.1811	-9.84***
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.07
λ₂ forecast adj. Forecast performance sensitivity	0.1201	3.66***
λ₃ tau persistence Long-term factor persistence	0.8799	27.28***

V-Lab

Sakai Holdings Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sakai Holdings Co Ltd Analyses