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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3174	0.01
α ARCH Response to squared shocks	0.2229	0.00
β GARCH Volatility persistence	0.7771	0.01

γ₁	0.2516	0.00
γ₂	-1.0329	0.00
γ₃	2.0508	0.02
γ₄	-2.0967	-0.02
γ₅	0.4995	0.00
γ₆	0.9986	0.01
γ₇	-1.0746	-0.01
γ₈	0.6410	0.01
γ₉	-0.5325	-0.02

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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