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
mwindow	71
αARCH	0.1929	6.60***
βGARCH	0.7712	23.24***
γleverage	-0.1929	-5.42***
λ₁tau intercept	0.2664	1.72*
λ₂forecast adj.	0.0054	1.43
λ₃tau persistence	0.9913	280.91***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1929	6.60***
β GARCH Volatility persistence	0.7712	23.24***
γ leverage Additional response to negative shocks	-0.1929	-5.42***
λ₁ tau intercept Baseline long-term coefficient	0.2664	1.72*
λ₂ forecast adj. Forecast performance sensitivity	0.0054	1.43
λ₃ tau persistence Long-term factor persistence	0.9913	280.91***

V-Lab

Zhejiang Fuchunjiang Environmental Thermoelectric Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zhejiang Fuchunjiang Environmental Thermoelectric Co Ltd Analyses