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

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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	0.8005	4.55***
αARCH	0.3566	14.92***
βGARCH	0.6426	27.15***

γ₁	-0.2783	-1.20
γ₂	0.5384	1.64
γ₃	-0.3402	-1.59
γ₄	0.5343	2.92***
γ₅	-3.3419	-13.04***
γ₆	7.2709	9.44***
γ₇	-6.3586	-8.66***
γ₈	1.9796	5.31***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8005	4.55***
α ARCH Response to squared shocks	0.3566	14.92***
β GARCH Volatility persistence	0.6426	27.15***

γ₁	-0.2783	-1.20
γ₂	0.5384	1.64
γ₃	-0.3402	-1.59
γ₄	0.5343	2.92***
γ₅	-3.3419	-13.04***
γ₆	7.2709	9.44***
γ₇	-6.3586	-8.66***
γ₈	1.9796	5.31***

V-Lab

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