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	1.2538	12.64***
αARCH	0.1521	5.87***
βGARCH	0.4936	9.21***

γ₁	-0.7909	-6.48***
γ₂	1.5782	8.95***
γ₃	-1.7389	-14.32***
γ₄	1.9924	12.28***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2538	12.64***
α ARCH Response to squared shocks	0.1521	5.87***
β GARCH Volatility persistence	0.4936	9.21***

γ₁	-0.7909	-6.48***
γ₂	1.5782	8.95***
γ₃	-1.7389	-14.32***
γ₄	1.9924	12.28***

V-Lab

Wuxi Paike New Materials Technology Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wuxi Paike New Materials Technology Co Ltd Analyses