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	1.0549	5.15***
αARCH	0.3562	4.94***
βGARCH	0.4115	3.54***

γ₁	2.0897	0.58
γ₂	-9.9551	-1.69*
γ₃	23.5823	3.83***
γ₄	-32.8883	-3.63***
γ₅	25.5922	2.39**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0549	5.15***
α ARCH Response to squared shocks	0.3562	4.94***
β GARCH Volatility persistence	0.4115	3.54***

γ₁	2.0897	0.58
γ₂	-9.9551	-1.69*
γ₃	23.5823	3.83***
γ₄	-32.8883	-3.63***
γ₅	25.5922	2.39**

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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