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	0.4151	0.03
αARCH	0.3223	0.00
βGARCH	0.6777	0.00

γ₁	-1.5097	-0.10
γ₂	3.5698	0.40
γ₃	-4.0851	-0.18
γ₄	3.6003	0.18
γ₅	-2.5497	-0.18

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4151	0.03
α ARCH Response to squared shocks	0.3223	0.00
β GARCH Volatility persistence	0.6777	0.00

γ₁	-1.5097	-0.10
γ₂	3.5698	0.40
γ₃	-4.0851	-0.18
γ₄	3.6003	0.18
γ₅	-2.5497	-0.18

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Ningxia Western Venture Industrial Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ningxia Western Venture Industrial Co Ltd Analyses