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	2.4594	5.28***
αARCH	0.2478	13.43***
βGARCH	0.7391	40.98***

γ₁	-0.0087	-0.20
γ₂	0.0219	0.29
γ₃	-0.0056	-0.12
γ₄	-0.0082	-0.24
γ₅	-0.0446	-1.15

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.4594	5.28***
α ARCH Response to squared shocks	0.2478	13.43***
β GARCH Volatility persistence	0.7391	40.98***

γ₁	-0.0087	-0.20
γ₂	0.0219	0.29
γ₃	-0.0056	-0.12
γ₄	-0.0082	-0.24
γ₅	-0.0446	-1.15

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