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	1.2007	2.06**
αARCH	0.2468	9.08***
βGARCH	0.7529	27.66***

γ₁	0.1814	1.71*
γ₂	-2.2356	-6.28***
γ₃	5.5211	6.87***
γ₄	-7.0476	-6.40***
γ₅	4.1238	2.76***
γ₆	1.2141	0.44
γ₇	0.4297	0.17
γ₈	-6.7128	-1.91*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2007	2.06**
α ARCH Response to squared shocks	0.2468	9.08***
β GARCH Volatility persistence	0.7529	27.66***

γ₁	0.1814	1.71*
γ₂	-2.2356	-6.28***
γ₃	5.5211	6.87***
γ₄	-7.0476	-6.40***
γ₅	4.1238	2.76***
γ₆	1.2141	0.44
γ₇	0.4297	0.17
γ₈	-6.7128	-1.91*

V-Lab

Shenzhen Zhongheng Huafa Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shenzhen Zhongheng Huafa Co Ltd Analyses