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	3.0051	4.59***
αARCH	0.2489	13.69***
βGARCH	0.7383	39.44***

γ₁	0.0099	2.68***
γ₂	-0.0142	-1.88*

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0051	4.59***
α ARCH Response to squared shocks	0.2489	13.69***
β GARCH Volatility persistence	0.7383	39.44***

γ₁	0.0099	2.68***
γ₂	-0.0142	-1.88*

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

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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