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	0.5876	3.06***
αARCH	0.0000	0.00
βGARCH	0.9190	10.01***

γ₁	-14.0498	-1.11
γ₂	36.0405	1.82*
γ₃	-44.8662	-2.40**
γ₄	71.0147	3.15***
γ₅	-137.6823	-4.85***
γ₆	149.8087	6.22***
γ₇	-75.6393	-4.79***
γ₈	16.0307	0.94

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5876	3.06***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9190	10.01***

γ₁	-14.0498	-1.11
γ₂	36.0405	1.82*
γ₃	-44.8662	-2.40**
γ₄	71.0147	3.15***
γ₅	-137.6823	-4.85***
γ₆	149.8087	6.22***
γ₇	-75.6393	-4.79***
γ₈	16.0307	0.94

V-Lab

Mokingran Jewellery Group Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mokingran Jewellery Group Co Ltd Analyses