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	0.5892	0.07
αARCH	0.1708	0.01
βGARCH	0.8292	0.03

γ₁	-0.1086	-0.53
γ₂	0.1295	0.25
γ₃	-0.0355	-0.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5892	0.07
α ARCH Response to squared shocks	0.1708	0.01
β GARCH Volatility persistence	0.8292	0.03

γ₁	-0.1086	-0.53
γ₂	0.1295	0.25
γ₃	-0.0355	-0.03

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Date Range:

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