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	0.4483
αARCH	0.2180
βGARCH	0.7820

γ₁	-0.4396
γ₂	-1.0314
γ₃	2.7355
γ₄	-1.3818
γ₅	7.1696
γ₆	-15.7500
γ₇	13.1868
γ₈	-7.6473
γ₉	2.9788
γ₁₀	2.7516

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4483
α ARCH Response to squared shocks	0.2180
β GARCH Volatility persistence	0.7820

γ₁	-0.4396
γ₂	-1.0314
γ₃	2.7355
γ₄	-1.3818
γ₅	7.1696
γ₆	-15.7500
γ₇	13.1868
γ₈	-7.6473
γ₉	2.9788
γ₁₀	2.7516

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