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	0.8266
αARCH	0.2263
βGARCH	0.7737

γ₁	-28.9236
γ₂	46.0535
γ₃	-26.4632
γ₄	13.3031
γ₅	-4.7036
γ₆	0.7842
γ₇	-0.4375
γ₈	0.9645
γ₉	-0.1737
γ₁₀	-1.8617

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8266
α ARCH Response to squared shocks	0.2263
β GARCH Volatility persistence	0.7737

γ₁	-28.9236
γ₂	46.0535
γ₃	-26.4632
γ₄	13.3031
γ₅	-4.7036
γ₆	0.7842
γ₇	-0.4375
γ₈	0.9645
γ₉	-0.1737
γ₁₀	-1.8617

V-Lab

Sheh Fung Screws Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sheh Fung Screws Co Ltd Analyses