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	26
αARCH	0.2213	7.63***
βGARCH	0.7380	35.36***
γleverage	-0.1793	-4.47***
λ₁tau intercept	9.0564	1.95*
λ₂forecast adj.	0.6545	6.09***
λ₃tau persistence	0.3455	7.15***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2213	7.63***
β GARCH Volatility persistence	0.7380	35.36***
γ leverage Additional response to negative shocks	-0.1793	-4.47***
λ₁ tau intercept Baseline long-term coefficient	9.0564	1.95*
λ₂ forecast adj. Forecast performance sensitivity	0.6545	6.09***
λ₃ tau persistence Long-term factor persistence	0.3455	7.15***

V-Lab

Guangdong Shaoneng Group ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangdong Shaoneng Group Analyses