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	1.2690	4.93***
αARCH	0.1002	11.27***
βGARCH	0.8883	90.22***

γ₁	-0.0425	-3.37***
γ₂	0.0873	4.07***
γ₃	-0.1164	-4.03***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2690	4.93***
α ARCH Response to squared shocks	0.1002	11.27***
β GARCH Volatility persistence	0.8883	90.22***

γ₁	-0.0425	-3.37***
γ₂	0.0873	4.07***
γ₃	-0.1164	-4.03***

V-Lab

Nansin Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nansin Co Ltd Analyses