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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Param	Value	t-stat
mwindow	26
αARCH	0.3794	1.66*
βGARCH	0.5637	2.74***
γleverage	-0.3794	-1.37
λ₁tau intercept	7.7657	1.47
λ₂forecast adj.	1.0000	17.96***
λ₃tau persistence	0.0000	0.01

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.3794	1.66*
β GARCH Volatility persistence	0.5637	2.74***
γ leverage Additional response to negative shocks	-0.3794	-1.37
λ₁ tau intercept Baseline long-term coefficient	7.7657	1.47
λ₂ forecast adj. Forecast performance sensitivity	1.0000	17.96***
λ₃ tau persistence Long-term factor persistence	0.0000	0.01

V-Lab

Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd Analyses