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	2.5567	5.70***
αARCH	0.2809	2.87***
βGARCH	0.4160	3.89***

γ₁	-1.7739	-2.06**
γ₂	6.4098	4.28***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5567	5.70***
α ARCH Response to squared shocks	0.2809	2.87***
β GARCH Volatility persistence	0.4160	3.89***

γ₁	-1.7739	-2.06**
γ₂	6.4098	4.28***

V-Lab

Shanghai REFIRE Group Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shanghai REFIRE Group Ltd Analyses