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	0.9059	0.00
αARCH	0.0000	0.00
βGARCH	1.0000	0.00

γ₁	-5.8151	-0.10
γ₂	-109.1690	-1.29
γ₃	335.9002	3.54***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9059	0.00
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	1.0000	0.00

γ₁	-5.8151	-0.10
γ₂	-109.1690	-1.29
γ₃	335.9002	3.54***

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Shenzhen Ldrobot Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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