How volatility evolves over time

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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	0.3900	4.01***
αARCH	0.0496	5.12***
βGARCH	0.9039	39.91***

γ₁	0.2167	0.71
γ₂	-0.7073	-1.58
γ₃	0.3509	1.25
γ₄	0.5181	2.25**
γ₅	-0.9463	-4.14***
γ₆	1.0464	4.99***
γ₇	-0.4871	-2.41**
γ₈	-0.2996	-1.54
γ₉	0.5192	2.97***
γ₁₀	-0.0762	-0.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3900	4.01***
α ARCH Response to squared shocks	0.0496	5.12***
β GARCH Volatility persistence	0.9039	39.91***

γ₁	0.2167	0.71
γ₂	-0.7073	-1.58
γ₃	0.3509	1.25
γ₄	0.5181	2.25**
γ₅	-0.9463	-4.14***
γ₆	1.0464	4.99***
γ₇	-0.4871	-2.41**
γ₈	-0.2996	-1.54
γ₉	0.5192	2.97***
γ₁₀	-0.0762	-0.31

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Create Corp Spline ILLIQ Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

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