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	0.8232	5.15***
αARCH	0.2859	7.72***
βGARCH	0.6242	25.98***

γ₁	-0.0852	-5.04***
γ₂	0.1413	5.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8232	5.15***
α ARCH Response to squared shocks	0.2859	7.72***
β GARCH Volatility persistence	0.6242	25.98***

γ₁	-0.0852	-5.04***
γ₂	0.1413	5.58***

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Jiangsu Pacific Quartz Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

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