How volatility evolves over time

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How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	1.1906	1.88*
αARCH	0.1915	6.14***
βGARCH	0.8084	25.97***

γ₁	-10.1904	-4.10***
γ₂	16.4813	4.09***
γ₃	-8.0867	-3.58***
γ₄	1.7198	1.53
γ₅	0.4145	0.52
γ₆	-0.3860	-0.57
γ₇	-0.0960	-0.12
γ₈	-0.4535	-0.40
γ₉	1.3959	1.22
γ₁₀	-1.2154	-1.08

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1906	1.88*
α ARCH Response to squared shocks	0.1915	6.14***
β GARCH Volatility persistence	0.8084	25.97***

γ₁	-10.1904	-4.10***
γ₂	16.4813	4.09***
γ₃	-8.0867	-3.58***
γ₄	1.7198	1.53
γ₅	0.4145	0.52
γ₆	-0.3860	-0.57
γ₇	-0.0960	-0.12
γ₈	-0.4535	-0.40
γ₉	1.3959	1.22
γ₁₀	-1.2154	-1.08

V-Lab

American Coastal Insurance Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other American Coastal Insurance Corp Analyses