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	0.7904	0.13
αARCH	0.2450	0.00
βGARCH	0.7550	0.00

γ₁	0.1908	0.00
γ₂	-0.5875	0.00
γ₃	0.7405	0.01
γ₄	-0.5817	-0.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7904	0.13
α ARCH Response to squared shocks	0.2450	0.00
β GARCH Volatility persistence	0.7550	0.00

γ₁	0.1908	0.00
γ₂	-0.5875	0.00
γ₃	0.7405	0.01
γ₄	-0.5817	-0.13

V-Lab

Huadian Power International Corp Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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