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	5.2208	1.80*
αARCH	0.2596	2.56**
βGARCH	0.3421	2.11**

γ₁	4.7535	1.69*
γ₂	-2.2537	-0.48
γ₃	-10.0742	-2.59***
γ₄	15.8345	5.49***
γ₅	-11.6862	-3.91***
γ₆	2.7930	0.85
γ₇	1.1810	0.48
γ₈	2.1910	1.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.2208	1.80*
α ARCH Response to squared shocks	0.2596	2.56**
β GARCH Volatility persistence	0.3421	2.11**

γ₁	4.7535	1.69*
γ₂	-2.2537	-0.48
γ₃	-10.0742	-2.59***
γ₄	15.8345	5.49***
γ₅	-11.6862	-3.91***
γ₆	2.7930	0.85
γ₇	1.1810	0.48
γ₈	2.1910	1.01

V-Lab

Unicocell Biomed Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Unicocell Biomed Co Ltd Analyses