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	0.8179	4.95***
αARCH	0.1354	0.64
βGARCH	0.8646	4.08***

γ₁	0.0007	0.00
γ₂	0.0083	0.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8179	4.95***
α ARCH Response to squared shocks	0.1354	0.64
β GARCH Volatility persistence	0.8646	4.08***

γ₁	0.0007	0.00
γ₂	0.0083	0.03

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Sohu.com Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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