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	1.3945	1.85*
αARCH	0.3058	10.77***
βGARCH	0.6909	29.35***

γ₁	0.0556	0.91
γ₂	-0.2041	-2.03**
γ₃	0.3412	4.04***
γ₄	-0.3184	-4.75***
γ₅	0.1206	2.09**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3945	1.85*
α ARCH Response to squared shocks	0.3058	10.77***
β GARCH Volatility persistence	0.6909	29.35***

γ₁	0.0556	0.91
γ₂	-0.2041	-2.03**
γ₃	0.3412	4.04***
γ₄	-0.3184	-4.75***
γ₅	0.1206	2.09**

V-Lab

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