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	0.8356	4.60***
αARCH	0.2818	15.83***
βGARCH	0.7177	40.42***

γ₁	-1.1808	-2.30**
γ₂	4.1120	3.55***
γ₃	-5.5424	-4.12***
γ₄	3.6602	3.41***
γ₅	-1.2235	-1.97**
γ₆	0.1732	0.66
γ₇	-0.1020	-0.73
γ₈	0.0959	0.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8356	4.60***
α ARCH Response to squared shocks	0.2818	15.83***
β GARCH Volatility persistence	0.7177	40.42***

γ₁	-1.1808	-2.30**
γ₂	4.1120	3.55***
γ₃	-5.5424	-4.12***
γ₄	3.6602	3.41***
γ₅	-1.2235	-1.97**
γ₆	0.1732	0.66
γ₇	-0.1020	-0.73
γ₈	0.0959	0.54

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