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	1.5860	0.78
αARCH	0.9721	11.65***
βGARCH	0.0000	0.00

γ₁	-8.9022	-2.62***
γ₂	14.4072	2.93***
γ₃	-8.5470	-2.94***
γ₄	5.8043	1.88*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5860	0.78
α ARCH Response to squared shocks	0.9721	11.65***
β GARCH Volatility persistence	0.0000	0.00

γ₁	-8.9022	-2.62***
γ₂	14.4072	2.93***
γ₃	-8.5470	-2.94***
γ₄	5.8043	1.88*

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Date Range:

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