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	1.4264	3.66***
αARCH	0.2126	13.68***
βGARCH	0.7359	27.86***

γ₁	0.2746	0.78
γ₂	-0.6616	-1.14
γ₃	0.7125	2.10**
γ₄	-0.6437	-4.25***
γ₅	0.6619	6.76***
γ₆	-0.6768	-5.53***
γ₇	0.5874	5.50***
γ₈	-0.4423	-3.80***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4264	3.66***
α ARCH Response to squared shocks	0.2126	13.68***
β GARCH Volatility persistence	0.7359	27.86***

γ₁	0.2746	0.78
γ₂	-0.6616	-1.14
γ₃	0.7125	2.10**
γ₄	-0.6437	-4.25***
γ₅	0.6619	6.76***
γ₆	-0.6768	-5.53***
γ₇	0.5874	5.50***
γ₈	-0.4423	-3.80***

V-Lab

SPIC Green Energy Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SPIC Green Energy Co Ltd Analyses