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	0.8620
αARCH	0.2950
βGARCH	0.7050

γ₁	-1.8297
γ₂	1.9964
γ₃	3.2512
γ₄	-7.5725
γ₅	4.4050
γ₆	10.4570
γ₇	-24.3392
γ₈	20.1978
γ₉	-8.0047
γ₁₀	1.2891

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8620
α ARCH Response to squared shocks	0.2950
β GARCH Volatility persistence	0.7050

γ₁	-1.8297
γ₂	1.9964
γ₃	3.2512
γ₄	-7.5725
γ₅	4.4050
γ₆	10.4570
γ₇	-24.3392
γ₈	20.1978
γ₉	-8.0047
γ₁₀	1.2891

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