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	3.9309	6.16***
αARCH	0.2126	9.72***
βGARCH	0.7851	38.72***

γ₁	-1.6866	-2.38**
γ₂	4.4035	2.66***
γ₃	-5.4898	-2.98***
γ₄	5.0140	3.15***
γ₅	-3.1227	-3.12***
γ₆	0.9929	2.62***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.9309	6.16***
α ARCH Response to squared shocks	0.2126	9.72***
β GARCH Volatility persistence	0.7851	38.72***

γ₁	-1.6866	-2.38**
γ₂	4.4035	2.66***
γ₃	-5.4898	-2.98***
γ₄	5.0140	3.15***
γ₅	-3.1227	-3.12***
γ₆	0.9929	2.62***

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