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	0.7287	5.55***
αARCH	0.3563	7.21***
βGARCH	0.6433	13.07***

γ₁	2.5457	0.13
γ₂	-64.8133	-2.84***
γ₃	128.2146	11.59***
γ₄	-92.8665	-8.13***
γ₅	34.9153	3.56***
γ₆	-24.5835	-2.50**
γ₇	38.0899	4.02***
γ₈	-29.2492	-3.54***
γ₉	7.1922	0.79
γ₁₀	3.8077	0.37

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7287	5.55***
α ARCH Response to squared shocks	0.3563	7.21***
β GARCH Volatility persistence	0.6433	13.07***

γ₁	2.5457	0.13
γ₂	-64.8133	-2.84***
γ₃	128.2146	11.59***
γ₄	-92.8665	-8.13***
γ₅	34.9153	3.56***
γ₆	-24.5835	-2.50**
γ₇	38.0899	4.02***
γ₈	-29.2492	-3.54***
γ₉	7.1922	0.79
γ₁₀	3.8077	0.37

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Best Precision Ind Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Best Precision Ind Co Ltd Analyses