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	5.0000	0.60
α ARCH Response to squared shocks	0.0478	3.34***
β GARCH Volatility persistence	0.9150	64.17***
γ leverage Additional response to negative shocks	0.0745	1.93*

V-Lab

Tenda Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tenda Co Ltd Analyses