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	0.6020	4.21***
αARCH	0.4319	0.82
βGARCH	0.6613	4.41***
γleverage	-0.1864	-0.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6020	4.21***
α ARCH Response to squared shocks	0.4319	0.82
β GARCH Volatility persistence	0.6613	4.41***
γ leverage Additional response to negative shocks	-0.1864	-0.38

V-Lab

CITIC Securities Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CITIC Securities Co Ltd Analyses