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	1.2154	2.37**
αARCH	0.1667	9.73***
βGARCH	0.7439	37.07***

γ₁	-0.0257	-0.08
γ₂	0.1133	0.21
γ₃	-0.5424	-1.25
γ₄	0.9617	2.98***
γ₅	-0.7260	-4.95***
γ₆	0.3103	3.84***
γ₇	-0.2623	-3.23***
γ₈	0.3577	2.80***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2154	2.37**
α ARCH Response to squared shocks	0.1667	9.73***
β GARCH Volatility persistence	0.7439	37.07***

γ₁	-0.0257	-0.08
γ₂	0.1133	0.21
γ₃	-0.5424	-1.25
γ₄	0.9617	2.98***
γ₅	-0.7260	-4.95***
γ₆	0.3103	3.84***
γ₇	-0.2623	-3.23***
γ₈	0.3577	2.80***

V-Lab

CRRC Corp Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CRRC Corp Ltd Analyses