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	0.9201	1.64
αARCH	0.1138	6.81***
βGARCH	0.8586	42.74***

γ₁	0.8286	2.08**
γ₂	-1.9445	-3.65***
γ₃	2.6745	7.60***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9201	1.64
α ARCH Response to squared shocks	0.1138	6.81***
β GARCH Volatility persistence	0.8586	42.74***

γ₁	0.8286	2.08**
γ₂	-1.9445	-3.65***
γ₃	2.6745	7.60***

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Date Range:

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