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

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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	1.6304	3.33***
αARCH	0.2269	24.03***
βGARCH	0.7718	80.22***

γ₁	0.0309	1.14
γ₂	-0.2627	-1.34

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6304	3.33***
α ARCH Response to squared shocks	0.2269	24.03***
β GARCH Volatility persistence	0.7718	80.22***

γ₁	0.0309	1.14
γ₂	-0.2627	-1.34

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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