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	0.9740	5.84***
αARCH	0.1915	11.79***
βGARCH	0.8084	49.98***

γ₁	-0.3656	-1.87*
γ₂	1.0150	1.99**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9740	5.84***
α ARCH Response to squared shocks	0.1915	11.79***
β GARCH Volatility persistence	0.8084	49.98***

γ₁	-0.3656	-1.87*
γ₂	1.0150	1.99**

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Castec Korea Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

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