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	0.6719	1.91*
αARCH	0.0707	3.19***
βGARCH	0.8714	61.73***
γleverage	0.0865	2.19**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6719	1.91*
α ARCH Response to squared shocks	0.0707	3.19***
β GARCH Volatility persistence	0.8714	61.73***
γ leverage Additional response to negative shocks	0.0865	2.19**

V-Lab

Ninebot Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ninebot Ltd Analyses