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
mwindow	96
αARCH	0.2008
βGARCH	0.1298
γleverage	0.4990
λ₁tau intercept	0.4351	6.08***
λ₂forecast adj.	0.0000	3.33***
λ₃tau persistence	0.9987	6,320.72***

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.2008
β GARCH Volatility persistence	0.1298
γ leverage Additional response to negative shocks	0.4990
λ₁ tau intercept Baseline long-term coefficient	0.4351	6.08***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	3.33***
λ₃ tau persistence Long-term factor persistence	0.9987	6,320.72***

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Jiangxi Avonflow Hvac Tech ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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