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	21
αARCH	0.2074	5.20***
βGARCH	0.8267	57.03***
γleverage	-0.0779	-1.44
λ₁tau intercept	0.0000	0.06
λ₂forecast adj.	0.7609	19.05***
λ₃tau persistence	0.2391	8.03***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2074	5.20***
β GARCH Volatility persistence	0.8267	57.03***
γ leverage Additional response to negative shocks	-0.0779	-1.44
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.7609	19.05***
λ₃ tau persistence Long-term factor persistence	0.2391	8.03***

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Beijing Jingneng Power Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Beijing Jingneng Power Co Ltd Analyses