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	1.2474	2.89***
αARCH	0.4698	6.07***
βGARCH	0.4494	6.59***

γ₁	7.9839	1.21
γ₂	5.8771	0.55
γ₃	-22.5284	-2.21**
γ₄	-16.4402	-1.09

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2474	2.89***
α ARCH Response to squared shocks	0.4698	6.07***
β GARCH Volatility persistence	0.4494	6.59***

γ₁	7.9839	1.21
γ₂	5.8771	0.55
γ₃	-22.5284	-2.21**
γ₄	-16.4402	-1.09

V-Lab

Zhengye Biotechnology Holding Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zhengye Biotechnology Holding Ltd Analyses