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	0.5471	0.03
αARCH	0.1971	0.01
βGARCH	0.8029	0.04

γ₁	-0.3913	0.00
γ₂	-0.4257	0.00
γ₃	2.4712	0.10
γ₄	-4.4299	-0.07
γ₅	5.1062	0.10
γ₆	-2.8442	-0.40
γ₇	1.1879	0.01
γ₈	-0.8696	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5471	0.03
α ARCH Response to squared shocks	0.1971	0.01
β GARCH Volatility persistence	0.8029	0.04

γ₁	-0.3913	0.00
γ₂	-0.4257	0.00
γ₃	2.4712	0.10
γ₄	-4.4299	-0.07
γ₅	5.1062	0.10
γ₆	-2.8442	-0.40
γ₇	1.1879	0.01
γ₈	-0.8696	0.00

V-Lab

Tongda Group Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tongda Group Holdings Ltd Analyses