How volatility evolves over time

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{name} Model Equation

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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	0.4440	0.78
αARCH	0.0000	0.00
βGARCH	0.9780	14.01***

γ₁	0.4044	0.24
γ₂	-1.8452	-1.03
γ₃	4.4668	6.40***
γ₄	-7.0469	-6.17***
γ₅	7.0344	4.78***
γ₆	-4.1518	-2.17**
γ₇	1.7795	0.97
γ₈	-1.3950	-1.22
γ₉	0.7454	0.80
γ₁₀	-0.3058	-0.30

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4440	0.78
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9780	14.01***

γ₁	0.4044	0.24
γ₂	-1.8452	-1.03
γ₃	4.4668	6.40***
γ₄	-7.0469	-6.17***
γ₅	7.0344	4.78***
γ₆	-4.1518	-2.17**
γ₇	1.7795	0.97
γ₈	-1.3950	-1.22
γ₉	0.7454	0.80
γ₁₀	-0.3058	-0.30

V-Lab

Toyota Motor Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Toyota Motor Corp Analyses