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	0.8686	4.33***
αARCH	0.1368	0.64
βGARCH	0.8632	4.03***

γ₁	-0.0858	-0.19
γ₂	0.5357	0.91
γ₃	-1.3878	-7.11***
γ₄	1.8410	8.15***
γ₅	-1.2585	-4.31***
γ₆	0.4307	1.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8686	4.33***
α ARCH Response to squared shocks	0.1368	0.64
β GARCH Volatility persistence	0.8632	4.03***

γ₁	-0.0858	-0.19
γ₂	0.5357	0.91
γ₃	-1.3878	-7.11***
γ₄	1.8410	8.15***
γ₅	-1.2585	-4.31***
γ₆	0.4307	1.46

V-Lab

Shenzhen Investment Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shenzhen Investment Ltd Analyses