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	21
αARCH	0.1233	7.48***
βGARCH	0.7914	27.23***
γleverage	0.0556	1.52
λ₁tau intercept	5.3841	1.38
λ₂forecast adj.	0.9156	34.73***
λ₃tau persistence	0.0607	4.53***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1233	7.48***
β GARCH Volatility persistence	0.7914	27.23***
γ leverage Additional response to negative shocks	0.0556	1.52
λ₁ tau intercept Baseline long-term coefficient	5.3841	1.38
λ₂ forecast adj. Forecast performance sensitivity	0.9156	34.73***
λ₃ tau persistence Long-term factor persistence	0.0607	4.53***

V-Lab

Suzhou Recodeal Interconnect System Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Suzhou Recodeal Interconnect System Co Ltd Analyses