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How illiquidity evolves over time

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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	0.6558	0.13
αARCH	0.2371	0.00
βGARCH	0.7629	0.01

γ₁	-0.8517	0.00
γ₂	2.8282	0.01
γ₃	-3.4561	0.00
γ₄	2.0553	0.00
γ₅	-0.9287	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6558	0.13
α ARCH Response to squared shocks	0.2371	0.00
β GARCH Volatility persistence	0.7629	0.01

γ₁	-0.8517	0.00
γ₂	2.8282	0.01
γ₃	-3.4561	0.00
γ₄	2.0553	0.00
γ₅	-0.9287	0.00

V-Lab

Guangzhou Development Group Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangzhou Development Group Inc Analyses