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	1.7683	3.53***
αARCH	0.3053	10.59***
βGARCH	0.6942	24.12***

γ₁	0.0316	1.56
γ₂	-0.2393	-1.98**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7683	3.53***
α ARCH Response to squared shocks	0.3053	10.59***
β GARCH Volatility persistence	0.6942	24.12***

γ₁	0.0316	1.56
γ₂	-0.2393	-1.98**

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Shenzhen CAU Technology Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shenzhen CAU Technology Co Ltd Analyses