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	1.0912	3.84***
αARCH	0.2521	16.93***
βGARCH	0.7469	50.95***

γ₁	-0.0767	-0.80
γ₂	0.1589	1.08
γ₃	0.0729	0.69
γ₄	-0.5909	-6.24***
γ₅	0.8258	4.10***
γ₆	-0.9373	-1.67*
γ₇	1.5795	1.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0912	3.84***
α ARCH Response to squared shocks	0.2521	16.93***
β GARCH Volatility persistence	0.7469	50.95***

γ₁	-0.0767	-0.80
γ₂	0.1589	1.08
γ₃	0.0729	0.69
γ₄	-0.5909	-6.24***
γ₅	0.8258	4.10***
γ₆	-0.9373	-1.67*
γ₇	1.5795	1.31

V-Lab

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

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hongmian Zhihui Science And Technology Innovation Co Ltd Guangzhou Analyses