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	1.2531	0.99
αARCH	0.2309	0.12
βGARCH	0.7691	0.39

γ₁	-0.2169	-0.04
γ₂	-0.1338	-0.03
γ₃	-1.8043	-0.06
γ₄	9.1890	0.08
γ₅	-13.2979	-0.09
γ₆	8.8171	0.10
γ₇	-3.0870	-0.11

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2531	0.99
α ARCH Response to squared shocks	0.2309	0.12
β GARCH Volatility persistence	0.7691	0.39

γ₁	-0.2169	-0.04
γ₂	-0.1338	-0.03
γ₃	-1.8043	-0.06
γ₄	9.1890	0.08
γ₅	-13.2979	-0.09
γ₆	8.8171	0.10
γ₇	-3.0870	-0.11

V-Lab

Guangdong Baolihua New Energy Stock Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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