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	36
αARCH	0.1020	9.07***
βGARCH	0.7761	68.01***
γleverage	0.0607	4.32***
λ₁tau intercept	9.3892	1.99**
λ₂forecast adj.	0.6435	20.41***
λ₃tau persistence	0.3051	6.29***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1020	9.07***
β GARCH Volatility persistence	0.7761	68.01***
γ leverage Additional response to negative shocks	0.0607	4.32***
λ₁ tau intercept Baseline long-term coefficient	9.3892	1.99**
λ₂ forecast adj. Forecast performance sensitivity	0.6435	20.41***
λ₃ tau persistence Long-term factor persistence	0.3051	6.29***

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Wuxi Paike New Materials Technology Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wuxi Paike New Materials Technology Co Ltd Analyses