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	1.3361	2.23**
αARCH	0.2441	5.17***
βGARCH	0.7545	15.90***

γ₁	-0.1624	-0.26
γ₂	-3.0652	-1.10
γ₃	11.1861	1.30
γ₄	-14.8866	-1.41
γ₅	10.5178	1.58
γ₆	-4.9121	-1.75*
γ₇	1.3630	1.67*
γ₈	-0.1039	-0.38
γ₉	0.2163	0.60

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3361	2.23**
α ARCH Response to squared shocks	0.2441	5.17***
β GARCH Volatility persistence	0.7545	15.90***

γ₁	-0.1624	-0.26
γ₂	-3.0652	-1.10
γ₃	11.1861	1.30
γ₄	-14.8866	-1.41
γ₅	10.5178	1.58
γ₆	-4.9121	-1.75*
γ₇	1.3630	1.67*
γ₈	-0.1039	-0.38
γ₉	0.2163	0.60

V-Lab

Huadian Power International Corp Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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