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	0.6479	3.23***
αARCH	0.0000	0.00
βGARCH	0.9205	9.70***

γ₁	-4.5883	-0.42
γ₂	19.1402	1.16
γ₃	-27.6102	-1.69*
γ₄	43.2736	2.01**
γ₅	-104.4687	-3.41***
γ₆	139.8892	4.38***
γ₇	-99.2273	-4.28***
γ₈	58.6275	3.02***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6479	3.23***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9205	9.70***

γ₁	-4.5883	-0.42
γ₂	19.1402	1.16
γ₃	-27.6102	-1.69*
γ₄	43.2736	2.01**
γ₅	-104.4687	-3.41***
γ₆	139.8892	4.38***
γ₇	-99.2273	-4.28***
γ₈	58.6275	3.02***

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