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	2.2540	1.80*
αARCH	0.5531	4.67***
βGARCH	0.3910	5.77***

γ₁	-1.9941	-9.10***
γ₂	3.1748	12.09***
γ₃	-1.7315	-3.23***
γ₄	1.2424	1.88*
γ₅	-0.6804	-1.22
γ₆	-1.1880	-1.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2540	1.80*
α ARCH Response to squared shocks	0.5531	4.67***
β GARCH Volatility persistence	0.3910	5.77***

γ₁	-1.9941	-9.10***
γ₂	3.1748	12.09***
γ₃	-1.7315	-3.23***
γ₄	1.2424	1.88*
γ₅	-0.6804	-1.22
γ₆	-1.1880	-1.25

V-Lab

Rendong Holdings Group Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rendong Holdings Group Co Ltd Analyses