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	1.2892	3.52***
αARCH	0.2994	10.56***
βGARCH	0.6071	18.05***

γ₁	-0.3044	-2.08**
γ₂	0.4351	2.23**
γ₃	-0.0740	-0.85
γ₄	-0.2733	-2.10**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2892	3.52***
α ARCH Response to squared shocks	0.2994	10.56***
β GARCH Volatility persistence	0.6071	18.05***

γ₁	-0.3044	-2.08**
γ₂	0.4351	2.23**
γ₃	-0.0740	-0.85
γ₄	-0.2733	-2.10**

V-Lab

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