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

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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	1.2862	5.35***
αARCH	0.2560	9.58***
βGARCH	0.7431	27.75***

γ₁	0.0326	0.18
γ₂	-0.0500	-0.17
γ₃	-2.0301	-1.54
γ₄	6.6701	1.61
γ₅	-8.6399	-1.64
γ₆	6.2826	1.67*
γ₇	-3.1678	-1.64
γ₈	0.8928	1.26

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2862	5.35***
α ARCH Response to squared shocks	0.2560	9.58***
β GARCH Volatility persistence	0.7431	27.75***

γ₁	0.0326	0.18
γ₂	-0.0500	-0.17
γ₃	-2.0301	-1.54
γ₄	6.6701	1.61
γ₅	-8.6399	-1.64
γ₆	6.2826	1.67*
γ₇	-3.1678	-1.64
γ₈	0.8928	1.26

V-Lab

Datang Huayin Electric Power Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Datang Huayin Electric Power Co Ltd Analyses