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	0.9274	4.17***
αARCH	0.2546	26.74***
βGARCH	0.7441	73.93***

γ₁	-0.7119	-3.26***
γ₂	2.3809	4.99***
γ₃	-2.8970	-4.91***
γ₄	1.4397	2.91***
γ₅	-0.1015	-0.34
γ₆	-0.1753	-1.33
γ₇	0.0205	0.15

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9274	4.17***
α ARCH Response to squared shocks	0.2546	26.74***
β GARCH Volatility persistence	0.7441	73.93***

γ₁	-0.7119	-3.26***
γ₂	2.3809	4.99***
γ₃	-2.8970	-4.91***
γ₄	1.4397	2.91***
γ₅	-0.1015	-0.34
γ₆	-0.1753	-1.33
γ₇	0.0205	0.15

V-Lab

Guangdong Shaoneng Group Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangdong Shaoneng Group Analyses