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	1.4809	1.27
αARCH	0.2942	11.39***
βGARCH	0.7057	27.35***

γ₁	-0.2335	-1.13
γ₂	-0.6626	-1.67*
γ₃	3.5857	4.69***
γ₄	-5.1924	-4.03***
γ₅	3.6060	2.42**
γ₆	-1.4044	-1.21
γ₇	0.3242	0.54
γ₈	0.0142	0.05
γ₉	-0.2199	-0.91

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4809	1.27
α ARCH Response to squared shocks	0.2942	11.39***
β GARCH Volatility persistence	0.7057	27.35***

γ₁	-0.2335	-1.13
γ₂	-0.6626	-1.67*
γ₃	3.5857	4.69***
γ₄	-5.1924	-4.03***
γ₅	3.6060	2.42**
γ₆	-1.4044	-1.21
γ₇	0.3242	0.54
γ₈	0.0142	0.05
γ₉	-0.2199	-0.91

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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