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	0.2448	0.00
αARCH	0.2245	0.00
βGARCH	0.7755	0.00

γ₁	-1.0936	-0.01
γ₂	0.9255	0.00
γ₃	0.4564	0.00
γ₄	-0.3007	0.00
γ₅	-0.0323	0.00
γ₆	0.0370	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2448	0.00
α ARCH Response to squared shocks	0.2245	0.00
β GARCH Volatility persistence	0.7755	0.00

γ₁	-1.0936	-0.01
γ₂	0.9255	0.00
γ₃	0.4564	0.00
γ₄	-0.3007	0.00
γ₅	-0.0323	0.00
γ₆	0.0370	0.00

V-Lab

Guizhou Qianyuan Power Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guizhou Qianyuan Power Co Ltd Analyses