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	3.0501	2.97***
αARCH	0.3380	0.59
βGARCH	0.6773	4.04***
γleverage	-0.0305	-0.05

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0501	2.97***
α ARCH Response to squared shocks	0.3380	0.59
β GARCH Volatility persistence	0.6773	4.04***
γ leverage Additional response to negative shocks	-0.0305	-0.05

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Huadian Power International Corp Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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