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	4.0550
αARCH	0.2291
βGARCH	0.7709

γ₁	-1.7378
γ₂	3.3328
γ₃	-2.0423
γ₄	1.2445
γ₅	-3.7817
γ₆	12.7572
γ₇	-21.0566
γ₈	16.5009
γ₉	-5.8981
γ₁₀	1.8725

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.0550
α ARCH Response to squared shocks	0.2291
β GARCH Volatility persistence	0.7709

γ₁	-1.7378
γ₂	3.3328
γ₃	-2.0423
γ₄	1.2445
γ₅	-3.7817
γ₆	12.7572
γ₇	-21.0566
γ₈	16.5009
γ₉	-5.8981
γ₁₀	1.8725

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