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
mwindow	61
αARCH	0.3520	5.41***
βGARCH	0.4674	6.73***
γleverage	0.1519	0.40
λ₁tau intercept	0.0176	0.02
λ₂forecast adj.	0.0067	1.55
λ₃tau persistence	0.9933	250.76***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.3520	5.41***
β GARCH Volatility persistence	0.4674	6.73***
γ leverage Additional response to negative shocks	0.1519	0.40
λ₁ tau intercept Baseline long-term coefficient	0.0176	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.0067	1.55
λ₃ tau persistence Long-term factor persistence	0.9933	250.76***

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Ningxia Western Venture Industrial Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ningxia Western Venture Industrial Co Ltd Analyses