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	0.2793	3.42***
αARCH	0.2475	16.34***
βGARCH	0.7426	58.09***

γ₁	-1.4086	-6.01***
γ₂	2.1096	3.95***
γ₃	-0.7229	-1.57
γ₄	-0.0264	-0.13
γ₅	-0.0235	-0.24
γ₆	0.1879	1.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2793	3.42***
α ARCH Response to squared shocks	0.2475	16.34***
β GARCH Volatility persistence	0.7426	58.09***

γ₁	-1.4086	-6.01***
γ₂	2.1096	3.95***
γ₃	-0.7229	-1.57
γ₄	-0.0264	-0.13
γ₅	-0.0235	-0.24
γ₆	0.1879	1.38

V-Lab

Rizhao Port Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rizhao Port Co Ltd Analyses