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
mwindow	71
αARCH	0.0959	8.51***
βGARCH	0.8570	48.37***
γleverage	-0.0959	-4.72***
λ₁tau intercept	7.4897	1.73*
λ₂forecast adj.	0.1373	8.24***
λ₃tau persistence	0.8148	29.70***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0959	8.51***
β GARCH Volatility persistence	0.8570	48.37***
γ leverage Additional response to negative shocks	-0.0959	-4.72***
λ₁ tau intercept Baseline long-term coefficient	7.4897	1.73*
λ₂ forecast adj. Forecast performance sensitivity	0.1373	8.24***
λ₃ tau persistence Long-term factor persistence	0.8148	29.70***

V-Lab

ZTO Express Cayman Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ZTO Express Cayman Inc Analyses