How volatility evolves over time

How illiquidity evolves over time

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How returns affect tomorrow's volatility

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	1.0438	0.17
αARCH	0.2496	0.01
βGARCH	0.7503	0.04

γ₁	-0.4012	-0.02
γ₂	0.9760	0.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0438	0.17
α ARCH Response to squared shocks	0.2496	0.01
β GARCH Volatility persistence	0.7503	0.04

γ₁	-0.4012	-0.02
γ₂	0.9760	0.03

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Axel Mark Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Axel Mark Inc Analyses