How volatility evolves over time

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{name} Model Equation

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	0.8586	2.48**
αARCH	0.2104	4.35***
βGARCH	0.7893	16.71***

γ₁	-7.5432	-1.47
γ₂	14.3017	1.41
γ₃	-9.2461	-1.34
γ₄	2.3714	1.30
γ₅	0.1588	0.34
γ₆	-0.0525	-0.18
γ₇	-0.2219	-0.79
γ₈	0.6558	2.05**
γ₉	-0.5885	-1.30
γ₁₀	-0.1385	-0.26

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8586	2.48**
α ARCH Response to squared shocks	0.2104	4.35***
β GARCH Volatility persistence	0.7893	16.71***

γ₁	-7.5432	-1.47
γ₂	14.3017	1.41
γ₃	-9.2461	-1.34
γ₄	2.3714	1.30
γ₅	0.1588	0.34
γ₆	-0.0525	-0.18
γ₇	-0.2219	-0.79
γ₈	0.6558	2.05**
γ₉	-0.5885	-1.30
γ₁₀	-0.1385	-0.26

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Polytronics Technology Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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