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	0.9598	3.66***
αARCH	0.3734	4.77***
βGARCH	0.4236	3.77***

γ₁	-1.9665	-0.26
γ₂	-0.7102	-0.06
γ₃	0.1500	0.02
γ₄	21.6314	2.36**
γ₅	-46.4832	-3.11***
γ₆	44.5547	2.20**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9598	3.66***
α ARCH Response to squared shocks	0.3734	4.77***
β GARCH Volatility persistence	0.4236	3.77***

γ₁	-1.9665	-0.26
γ₂	-0.7102	-0.06
γ₃	0.1500	0.02
γ₄	21.6314	2.36**
γ₅	-46.4832	-3.11***
γ₆	44.5547	2.20**

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Mingteng International Corp Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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