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	1.3668	4.05***
αARCH	0.0963	14.53***
βGARCH	0.8867	124.81***

γ₁	0.0063	1.83*
γ₂	-0.0022	-0.42

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3668	4.05***
α ARCH Response to squared shocks	0.0963	14.53***
β GARCH Volatility persistence	0.8867	124.81***

γ₁	0.0063	1.83*
γ₂	-0.0022	-0.42

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American Tower Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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