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	3.2514	7.08***
αARCH	0.1248	13.72***
βGARCH	0.8603	87.08***

γ₁	-0.0217	-3.52***
γ₂	0.0558	5.59***
γ₃	-0.0674	-5.70***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.2514	7.08***
α ARCH Response to squared shocks	0.1248	13.72***
β GARCH Volatility persistence	0.8603	87.08***

γ₁	-0.0217	-3.52***
γ₂	0.0558	5.59***
γ₃	-0.0674	-5.70***

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GD Power Development Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other GD Power Development Co Ltd Analyses