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	1.0624	3.96***
αARCH	0.2028	24.98***
βGARCH	0.7969	103.04***

γ₁	0.1405	0.58
γ₂	-0.5193	-1.76*
γ₃	0.6156	5.87***
γ₄	-0.2425	-2.46**
γ₅	-0.0578	-0.56

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0624	3.96***
α ARCH Response to squared shocks	0.2028	24.98***
β GARCH Volatility persistence	0.7969	103.04***

γ₁	0.1405	0.58
γ₂	-0.5193	-1.76*
γ₃	0.6156	5.87***
γ₄	-0.2425	-2.46**
γ₅	-0.0578	-0.56

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