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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9240	1.82*
α ARCH Response to squared shocks	0.1114	6.50***
β GARCH Volatility persistence	0.8560	38.41***

γ₁	0.8892	2.37**
γ₂	-2.0268	-4.04***
γ₃	2.5255	7.86***

V-Lab

Xiaomi Corporation Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Xiaomi Corporation Analyses