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	1.1050	3.80***
αARCH	0.2457	5.22***
βGARCH	0.7526	15.43***

γ₁	0.7903	0.41
γ₂	-3.9339	-1.45
γ₃	7.7104	2.68***
γ₄	-6.3588	-2.24**
γ₅	1.4612	0.85
γ₆	-1.7195	-0.96
γ₇	6.0834	1.47

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1050	3.80***
α ARCH Response to squared shocks	0.2457	5.22***
β GARCH Volatility persistence	0.7526	15.43***

γ₁	0.7903	0.41
γ₂	-3.9339	-1.45
γ₃	7.7104	2.68***
γ₄	-6.3588	-2.24**
γ₅	1.4612	0.85
γ₆	-1.7195	-0.96
γ₇	6.0834	1.47

V-Lab

Haosen Fintech Group Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Haosen Fintech Group Ltd Analyses