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
mwindow	26
αARCH	0.3510	2.31**
βGARCH	0.7235	9.12***
γleverage	-0.1591	-1.05
λ₁tau intercept	0.0000	0.06
λ₂forecast adj.	0.3643	2.07**
λ₃tau persistence	0.6156	4.00***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.3510	2.31**
β GARCH Volatility persistence	0.7235	9.12***
γ leverage Additional response to negative shocks	-0.1591	-1.05
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.3643	2.07**
λ₃ tau persistence Long-term factor persistence	0.6156	4.00***

V-Lab

Huadian Power International Corp Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Huadian Power International Corp Ltd Analyses