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
mwindow	51
αARCH	0.2325	19.03***
βGARCH	0.7367	69.04***
γleverage	0.0615	4.19***
λ₁tau intercept	2.5026	0.00
λ₂forecast adj.	1.0000	51.48***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.2325	19.03***
β GARCH Volatility persistence	0.7367	69.04***
γ leverage Additional response to negative shocks	0.0615	4.19***
λ₁ tau intercept Baseline long-term coefficient	2.5026	0.00
λ₂ forecast adj. Forecast performance sensitivity	1.0000	51.48***
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