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	1.0466	4.96***
αARCH	0.3583	4.95***
βGARCH	0.4311	3.95***

γ₁	1.3780	0.41
γ₂	-8.2919	-1.53
γ₃	22.0844	4.10***
γ₄	-34.5267	-4.20***
γ₅	39.0199	3.59***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0466	4.96***
α ARCH Response to squared shocks	0.3583	4.95***
β GARCH Volatility persistence	0.4311	3.95***

γ₁	1.3780	0.41
γ₂	-8.2919	-1.53
γ₃	22.0844	4.10***
γ₄	-34.5267	-4.20***
γ₅	39.0199	3.59***

V-Lab

Mingteng International Corp Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mingteng International Corp Inc Analyses