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	1.8366	4.44***
αARCH	0.3426	12.71***
βGARCH	0.6369	30.07***

γ₁	0.1066	1.00
γ₂	0.0399	0.22
γ₃	-0.2923	-2.21**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8366	4.44***
α ARCH Response to squared shocks	0.3426	12.71***
β GARCH Volatility persistence	0.6369	30.07***

γ₁	0.1066	1.00
γ₂	0.0399	0.22
γ₃	-0.2923	-2.21**

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Zhejiang Century Huatong Group Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zhejiang Century Huatong Group Co Ltd Analyses