How volatility evolves over time

How illiquidity evolves over time

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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	0.9320	8.07***
αARCH	0.1418	9.59***
βGARCH	0.8574	59.27***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9320	8.07***
α ARCH Response to squared shocks	0.1418	9.59***
β GARCH Volatility persistence	0.8574	59.27***

V-Lab

High Templar Tech Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other High Templar Tech Limited Analyses