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	0.7428	2.99***
αARCH	0.2239	4.73***
βGARCH	0.5966	6.09***

γ₁	-3.2202	-0.57
γ₂	1.8031	0.24
γ₃	2.7661	0.77
γ₄	2.2927	0.62
γ₅	-11.5193	-2.62***
γ₆	16.8671	2.34**
γ₇	-19.3330	-1.71*
γ₈	31.2007	2.07**
γ₉	-49.8040	-1.56

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7428	2.99***
α ARCH Response to squared shocks	0.2239	4.73***
β GARCH Volatility persistence	0.5966	6.09***

γ₁	-3.2202	-0.57
γ₂	1.8031	0.24
γ₃	2.7661	0.77
γ₄	2.2927	0.62
γ₅	-11.5193	-2.62***
γ₆	16.8671	2.34**
γ₇	-19.3330	-1.71*
γ₈	31.2007	2.07**
γ₉	-49.8040	-1.56

V-Lab

Wintao Communications Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wintao Communications Co Ltd Analyses