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	1.1215	3.24***
αARCH	0.2522	13.31***
βGARCH	0.7472	39.30***

γ₁	0.3544	5.32***
γ₂	-0.7323	-6.10***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1215	3.24***
α ARCH Response to squared shocks	0.2522	13.31***
β GARCH Volatility persistence	0.7472	39.30***

γ₁	0.3544	5.32***
γ₂	-0.7323	-6.10***

V-Lab

Akso Health Group Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Akso Health Group Analyses