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	0.9729	2.81***
αARCH	0.2164	0.17
βGARCH	0.7835	0.61

γ₁	0.7513	0.06
γ₂	-2.0697	-0.12
γ₃	0.8871	0.12
γ₄	2.2430	0.22
γ₅	-2.6193	-0.26
γ₆	0.7528	0.15
γ₇	0.0674	0.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9729	2.81***
α ARCH Response to squared shocks	0.2164	0.17
β GARCH Volatility persistence	0.7835	0.61

γ₁	0.7513	0.06
γ₂	-2.0697	-0.12
γ₃	0.8871	0.12
γ₄	2.2430	0.22
γ₅	-2.6193	-0.26
γ₆	0.7528	0.15
γ₇	0.0674	0.03

V-Lab

CRRC Corp Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CRRC Corp Ltd Analyses