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	0.9887	5.31***
αARCH	0.1777	10.48***
βGARCH	0.8222	48.45***

γ₁	-0.2525	-13.91***
γ₂	0.3651	12.78***
γ₃	-0.1342	-3.90***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9887	5.31***
α ARCH Response to squared shocks	0.1777	10.48***
β GARCH Volatility persistence	0.8222	48.45***

γ₁	-0.2525	-13.91***
γ₂	0.3651	12.78***
γ₃	-0.1342	-3.90***

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All About Inc Spline ILLIQ Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other All About Inc Analyses