How volatility evolves over time

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{name} Model Equation

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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	0.6181	4.28***
αARCH	0.2355	19.96***
βGARCH	0.7635	64.71***

γ₁	0.1773	0.86
γ₂	-0.7207	-2.32**
γ₃	2.0738	8.57***
γ₄	-2.8287	-8.42***
γ₅	1.8175	4.28***
γ₆	-2.2636	-5.21***
γ₇	4.3685	9.26***
γ₈	-3.9276	-10.40***
γ₉	1.5117	6.23***
γ₁₀	-0.3259	-1.14

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6181	4.28***
α ARCH Response to squared shocks	0.2355	19.96***
β GARCH Volatility persistence	0.7635	64.71***

γ₁	0.1773	0.86
γ₂	-0.7207	-2.32**
γ₃	2.0738	8.57***
γ₄	-2.8287	-8.42***
γ₅	1.8175	4.28***
γ₆	-2.2636	-5.21***
γ₇	4.3685	9.26***
γ₈	-3.9276	-10.40***
γ₉	1.5117	6.23***
γ₁₀	-0.3259	-1.14

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