How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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	2.8045	5.53***
αARCH	0.3568	8.78***
βGARCH	0.5715	14.46***

γ₁	-0.0411	-0.76
γ₂	0.2153	2.21**
γ₃	-0.3443	-2.77***
γ₄	0.2262	1.47
γ₅	-0.0504	-0.35
γ₆	-0.0042	-0.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.8045	5.53***
α ARCH Response to squared shocks	0.3568	8.78***
β GARCH Volatility persistence	0.5715	14.46***

γ₁	-0.0411	-0.76
γ₂	0.2153	2.21**
γ₃	-0.3443	-2.77***
γ₄	0.2262	1.47
γ₅	-0.0504	-0.35
γ₆	-0.0042	-0.03

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Ningxia Western Venture Industrial Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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