How volatility evolves over time

How illiquidity evolves over time

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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
mwindow	126
αARCH	0.2549	13.15***
βGARCH	0.7414	35.48***
γleverage	-0.0776	-1.35
λ₁tau intercept	0.1982	1.35
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9992	148.34***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.2549	13.15***
β GARCH Volatility persistence	0.7414	35.48***
γ leverage Additional response to negative shocks	-0.0776	-1.35
λ₁ tau intercept Baseline long-term coefficient	0.1982	1.35
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9992	148.34***

V-Lab

Hongmian Zhihui Science And Technology Innovation Co Ltd Guangzhou ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hongmian Zhihui Science And Technology Innovation Co Ltd Guangzhou Analyses