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	0.6012
αARCH	0.3013
βGARCH	0.6987

γ₁	-1.7996
γ₂	2.9000
γ₃	-1.7509
γ₄	11.3019
γ₅	-22.8132
γ₆	15.0572
γ₇	-1.6810
γ₈	-5.8788
γ₉	12.6039
γ₁₀	-14.9218

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6012
α ARCH Response to squared shocks	0.3013
β GARCH Volatility persistence	0.6987

γ₁	-1.7996
γ₂	2.9000
γ₃	-1.7509
γ₄	11.3019
γ₅	-22.8132
γ₆	15.0572
γ₇	-1.6810
γ₈	-5.8788
γ₉	12.6039
γ₁₀	-14.9218

V-Lab

Sichuan Chuantou Energy Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sichuan Chuantou Energy Co Ltd Analyses