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	0.3671	4.34***
αARCH	0.1834	13.65***
βGARCH	0.8070	60.77***

γ₁	-0.2193	-17.08***
γ₂	0.3054	14.91***
γ₃	-0.0724	-2.59***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3671	4.34***
α ARCH Response to squared shocks	0.1834	13.65***
β GARCH Volatility persistence	0.8070	60.77***

γ₁	-0.2193	-17.08***
γ₂	0.3054	14.91***
γ₃	-0.0724	-2.59***

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Aoba-BBT Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Aoba-BBT Inc Analyses