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	0.5758	0.01
α ARCH Response to squared shocks	0.3585	0.00
β GARCH Volatility persistence	0.6415	0.00

γ₁	-3.4585	-0.02
γ₂	5.1169	0.01
γ₃	-8.9459	0.00
γ₄	21.1420	0.00
γ₅	-28.1112	0.00
γ₆	25.9732	0.00
γ₇	-16.8949	0.00
γ₈	5.4886	0.00

V-Lab

Fujian SBS Zipper Science & Technology Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fujian SBS Zipper Science & Technology Co Ltd Analyses