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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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.2328	19.18***
β GARCH Volatility persistence	0.7365	69.84***
γ leverage Additional response to negative shocks	0.0612	4.17***
λ₁ tau intercept Baseline long-term coefficient	0.2505	0.00
λ₂ forecast adj. Forecast performance sensitivity	1.0000	50.92***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Beijing Sifang Automation Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Beijing Sifang Automation Co Ltd Analyses