How volatility evolves over time

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{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	1.4629	1.05
αARCH	0.2927	2.30**
βGARCH	0.7072	5.55***

γ₁	-0.5611	-6.64***
γ₂	1.4319	9.50***
γ₃	-1.5811	-12.62***
γ₄	0.9419	7.45***
γ₅	-0.2634	-2.37**
γ₆	0.0253	0.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4629	1.05
α ARCH Response to squared shocks	0.2927	2.30**
β GARCH Volatility persistence	0.7072	5.55***

γ₁	-0.5611	-6.64***
γ₂	1.4319	9.50***
γ₃	-1.5811	-12.62***
γ₄	0.9419	7.45***
γ₅	-0.2634	-2.37**
γ₆	0.0253	0.31

V-Lab

Shandong Xinneng Taishan Power Generation Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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