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	0.5700	0.81
αARCH	0.1688	0.07
βGARCH	0.8312	0.34

γ₁	-0.8851	-0.04
γ₂	1.1060	0.04
γ₃	-0.1640	-0.05

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5700	0.81
α ARCH Response to squared shocks	0.1688	0.07
β GARCH Volatility persistence	0.8312	0.34

γ₁	-0.8851	-0.04
γ₂	1.1060	0.04
γ₃	-0.1640	-0.05

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Dr.Wu Skincare Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dr.Wu Skincare Co Analyses