How volatility evolves over time

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{name} Model Equation

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How returns affect tomorrow's illiquidity

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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	3.0241	2.86***
αARCH	0.2582	8.25***
βGARCH	0.7190	21.55***

γ₁	0.4784	0.42
γ₂	-5.4155	-1.00
γ₃	13.1582	1.19
γ₄	-11.9634	-1.20
γ₅	3.6626	1.14
γ₆	0.4228	1.31
γ₇	-0.9545	-1.99**
γ₈	2.2069	1.71*

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0241	2.86***
α ARCH Response to squared shocks	0.2582	8.25***
β GARCH Volatility persistence	0.7190	21.55***

γ₁	0.4784	0.42
γ₂	-5.4155	-1.00
γ₃	13.1582	1.19
γ₄	-11.9634	-1.20
γ₅	3.6626	1.14
γ₆	0.4228	1.31
γ₇	-0.9545	-1.99**
γ₈	2.2069	1.71*

V-Lab

Guangzhou Automobile Group Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangzhou Automobile Group Co Ltd Analyses