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	1.4251	4.44***
αARCH	0.2096	15.39***
βGARCH	0.7877	59.10***

γ₁	-0.2971	-5.33***
γ₂	0.5599	6.82***
γ₃	-0.5392	-9.13***
γ₄	0.3919	6.05***
γ₅	-0.0640	-0.91
γ₆	0.0112	0.11

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4251	4.44***
α ARCH Response to squared shocks	0.2096	15.39***
β GARCH Volatility persistence	0.7877	59.10***

γ₁	-0.2971	-5.33***
γ₂	0.5599	6.82***
γ₃	-0.5392	-9.13***
γ₄	0.3919	6.05***
γ₅	-0.0640	-0.91
γ₆	0.0112	0.11

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Global Dining Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Global Dining Inc Analyses