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	0.4970	5.03***
α ARCH Response to squared shocks	0.1075	4.92***
β GARCH Volatility persistence	0.8230	23.21***

γ₁	-1.3761	-4.43***
γ₂	1.2663	2.52**
γ₃	1.5715	3.80***

V-Lab

Tenda Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tenda Co Ltd Analyses