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

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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	1.1780	4.19***
αARCH	0.1730	12.70***
βGARCH	0.8119	65.33***

γ₁	0.1357	1.77*
γ₂	-0.4286	-3.67***
γ₃	0.6086	8.40***
γ₄	-0.4605	-5.73***
γ₅	0.0048	0.05
γ₆	0.3307	3.54***
γ₇	-0.2266	-2.55**
γ₈	-0.0191	-0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1780	4.19***
α ARCH Response to squared shocks	0.1730	12.70***
β GARCH Volatility persistence	0.8119	65.33***

γ₁	0.1357	1.77*
γ₂	-0.4286	-3.67***
γ₃	0.6086	8.40***
γ₄	-0.4605	-5.73***
γ₅	0.0048	0.05
γ₆	0.3307	3.54***
γ₇	-0.2266	-2.55**
γ₈	-0.0191	-0.22

V-Lab

Nippo Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nippo Ltd Analyses