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	0.9572	3.42***
αARCH	0.1635	0.40
βGARCH	0.8365	2.03**

γ₁	-1.6133	-0.61
γ₂	3.3194	0.47
γ₃	-5.2937	-0.31
γ₄	13.5167	0.32
γ₅	-19.9379	-0.44
γ₆	14.8807	1.02
γ₇	-5.9080	-1.41
γ₈	1.3883	0.36
γ₉	-0.5768	-0.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9572	3.42***
α ARCH Response to squared shocks	0.1635	0.40
β GARCH Volatility persistence	0.8365	2.03**

γ₁	-1.6133	-0.61
γ₂	3.3194	0.47
γ₃	-5.2937	-0.31
γ₄	13.5167	0.32
γ₅	-19.9379	-0.44
γ₆	14.8807	1.02
γ₇	-5.9080	-1.41
γ₈	1.3883	0.36
γ₉	-0.5768	-0.03

V-Lab

CITIC Securities Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CITIC Securities Co Ltd Analyses