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	0.8399	4.65***
α ARCH Response to squared shocks	0.2819	15.82***
β GARCH Volatility persistence	0.7176	40.38***

γ₁	-1.1785	-2.24**
γ₂	4.1269	3.52***
γ₃	-5.5644	-4.12***
γ₄	3.6532	3.41***
γ₅	-1.2079	-1.96**
γ₆	0.1727	0.66
γ₇	-0.1066	-0.77
γ₈	0.0966	0.54

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Weichai Heavy Machinery Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Weichai Heavy Machinery Co Ltd Analyses