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	121
αARCH	0.2345	14.45***
βGARCH	0.7903	145.82***
γleverage	-0.2035	-7.55***
λ₁tau intercept	8.0553	1.30
λ₂forecast adj.	0.0001	5.32***
λ₃tau persistence	0.8862	207.16***

Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.2345	14.45***
β GARCH Volatility persistence	0.7903	145.82***
γ leverage Additional response to negative shocks	-0.2035	-7.55***
λ₁ tau intercept Baseline long-term coefficient	8.0553	1.30
λ₂ forecast adj. Forecast performance sensitivity	0.0001	5.32***
λ₃ tau persistence Long-term factor persistence	0.8862	207.16***

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Best Precision Ind Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Best Precision Ind Co Ltd Analyses