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	0.3405	0.01
αARCH	0.1967	0.00
βGARCH	0.8033	0.01

γ₁	2.6829	0.00
γ₂	-6.6463	-0.01
γ₃	6.4848	0.01
γ₄	-5.0206	-0.01
γ₅	3.7755	0.01
γ₆	-1.1479	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3405	0.01
α ARCH Response to squared shocks	0.1967	0.00
β GARCH Volatility persistence	0.8033	0.01

γ₁	2.6829	0.00
γ₂	-6.6463	-0.01
γ₃	6.4848	0.01
γ₄	-5.0206	-0.01
γ₅	3.7755	0.01
γ₆	-1.1479	0.00

V-Lab

Xin Point Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Xin Point Holdings Ltd Analyses