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	0.1932	3.61***
αARCH	0.3267	0.77
βGARCH	0.7198	6.67***
γleverage	-0.0930	-0.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1932	3.61***
α ARCH Response to squared shocks	0.3267	0.77
β GARCH Volatility persistence	0.7198	6.67***
γ leverage Additional response to negative shocks	-0.0930	-0.21

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China Yangtze Power Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other China Yangtze Power Co Ltd Analyses