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	1.2751	0.24
αARCH	0.2175	0.24
βGARCH	0.7825	0.88

γ₁	-0.5210	-5.10***
γ₂	1.3026	11.30***
γ₃	-1.5373	-16.30***
γ₄	1.1414	6.39***
γ₅	-0.5526	-7.85***
γ₆	0.2863	0.74

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2751	0.24
α ARCH Response to squared shocks	0.2175	0.24
β GARCH Volatility persistence	0.7825	0.88

γ₁	-0.5210	-5.10***
γ₂	1.3026	11.30***
γ₃	-1.5373	-16.30***
γ₄	1.1414	6.39***
γ₅	-0.5526	-7.85***
γ₆	0.2863	0.74

V-Lab

Jinneng Holding Shanxi Electric Power Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jinneng Holding Shanxi Electric Power Co Ltd Analyses