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	1.6183	0.56
αARCH	0.1115	0.58
βGARCH	0.9110	171.43***
γleverage	-0.0451	-0.15

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6183	0.56
α ARCH Response to squared shocks	0.1115	0.58
β GARCH Volatility persistence	0.9110	171.43***
γ leverage Additional response to negative shocks	-0.0451	-0.15

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Guizhou Qianyuan Power Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guizhou Qianyuan Power Co Ltd Analyses