How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

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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	0.7131
αARCH	0.1638
βGARCH	0.8362

γ₁	0.5263
γ₂	-0.9207
γ₃	0.6711

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7131
α ARCH Response to squared shocks	0.1638
β GARCH Volatility persistence	0.8362

γ₁	0.5263
γ₂	-0.9207
γ₃	0.6711

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