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	1.0626	5.00***
αARCH	0.3536	4.85***
βGARCH	0.4262	3.71***

γ₁	3.0609	0.75
γ₂	-12.2588	-1.80*
γ₃	26.1941	3.60***
γ₄	-33.6588	-3.35***
γ₅	21.8654	2.08**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0626	5.00***
α ARCH Response to squared shocks	0.3536	4.85***
β GARCH Volatility persistence	0.4262	3.71***

γ₁	3.0609	0.75
γ₂	-12.2588	-1.80*
γ₃	26.1941	3.60***
γ₄	-33.6588	-3.35***
γ₅	21.8654	2.08**

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Mingteng International Corp Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mingteng International Corp Inc Analyses