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	1.2384	4.05***
αARCH	0.4184	9.00***
βGARCH	0.5805	13.20***

γ₁	-2.9067	-0.86
γ₂	3.5048	0.86
γ₃	0.0590	0.04
γ₄	-1.3015	-1.02
γ₅	0.9753	0.77
γ₆	-2.8507	-3.14***
γ₇	9.0271	5.32***
γ₈	-24.2890	-1.72*
γ₉	49.4355	1.71*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2384	4.05***
α ARCH Response to squared shocks	0.4184	9.00***
β GARCH Volatility persistence	0.5805	13.20***

γ₁	-2.9067	-0.86
γ₂	3.5048	0.86
γ₃	0.0590	0.04
γ₄	-1.3015	-1.02
γ₅	0.9753	0.77
γ₆	-2.8507	-3.14***
γ₇	9.0271	5.32***
γ₈	-24.2890	-1.72*
γ₉	49.4355	1.71*

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