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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6670	4.14***
α ARCH Response to squared shocks	0.2366	19.94***
β GARCH Volatility persistence	0.7630	64.18***

γ₁	-0.0455	-0.20
γ₂	-0.4052	-1.18
γ₃	1.9812	7.84***
γ₄	-2.8495	-8.62***
γ₅	1.8436	4.42***
γ₆	-2.2527	-5.30***
γ₇	4.3153	9.41***
γ₈	-3.8766	-10.51***
γ₉	1.5061	6.18***
γ₁₀	-0.3527	-1.21

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Guangzhou Development Group Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangzhou Development Group Inc Analyses