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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	0.6751	2.84***
αARCH	0.3160	16.85***
βGARCH	0.6828	35.69***

γ₁	-0.3592	-1.87*
γ₂	1.1605	3.63***
γ₃	-2.6857	-9.16***
γ₄	4.1321	5.07***
γ₅	-4.4325	-3.60***
γ₆	4.4289	3.26***
γ₇	-3.5456	-3.42***
γ₈	1.7486	3.30***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6751	2.84***
α ARCH Response to squared shocks	0.3160	16.85***
β GARCH Volatility persistence	0.6828	35.69***

γ₁	-0.3592	-1.87*
γ₂	1.1605	3.63***
γ₃	-2.6857	-9.16***
γ₄	4.1321	5.07***
γ₅	-4.4325	-3.60***
γ₆	4.4289	3.26***
γ₇	-3.5456	-3.42***
γ₈	1.7486	3.30***

V-Lab

Liaoning SG Automotive Group Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Liaoning SG Automotive Group Co Ltd Analyses