How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

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How returns affect tomorrow's illiquidity

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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	1.0771	7.16***
αARCH	0.0549	7.35***
βGARCH	0.9411	120.36***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0771	7.16***
α ARCH Response to squared shocks	0.0549	7.35***
β GARCH Volatility persistence	0.9411	120.36***

V-Lab

Tencent Music Entertainment Group Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tencent Music Entertainment Group Analyses