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
ωconst	1.4795	3.88***
αARCH	0.2476	8.05***
βGARCH	0.7512	23.86***

γ₁	-0.1410	-0.51
γ₂	-1.4350	-0.98
γ₃	5.0049	1.28
γ₄	-7.4225	-1.29
γ₅	7.5174	1.31
γ₆	-5.0487	-1.34
γ₇	1.6177	1.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4795	3.88***
α ARCH Response to squared shocks	0.2476	8.05***
β GARCH Volatility persistence	0.7512	23.86***

γ₁	-0.1410	-0.51
γ₂	-1.4350	-0.98
γ₃	5.0049	1.28
γ₄	-7.4225	-1.29
γ₅	7.5174	1.31
γ₆	-5.0487	-1.34
γ₇	1.6177	1.46

V-Lab

Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd Analyses