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	0.8904	2.92***
αARCH	0.3024	4.85***
βGARCH	0.6347	8.85***

γ₁	-8.7669	-2.59***
γ₂	22.4413	3.18***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8904	2.92***
α ARCH Response to squared shocks	0.3024	4.85***
β GARCH Volatility persistence	0.6347	8.85***

γ₁	-8.7669	-2.59***
γ₂	22.4413	3.18***

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Hainan Drinda NEW Energy Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hainan Drinda NEW Energy Analyses