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	0.9184	1.68*
αARCH	0.1132	6.75***
βGARCH	0.8578	41.56***

γ₁	0.8360	2.13**
γ₂	-1.9500	-3.70***
γ₃	2.6127	7.54***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9184	1.68*
α ARCH Response to squared shocks	0.1132	6.75***
β GARCH Volatility persistence	0.8578	41.56***

γ₁	0.8360	2.13**
γ₂	-1.9500	-3.70***
γ₃	2.6127	7.54***

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