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	0.5708	4.35***
αARCH	0.1556	23.20***
βGARCH	0.8310	150.27***

γ₁	0.0004	0.07
γ₂	0.0127	1.55

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5708	4.35***
α ARCH Response to squared shocks	0.1556	23.20***
β GARCH Volatility persistence	0.8310	150.27***

γ₁	0.0004	0.07
γ₂	0.0127	1.55

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BB Biotech AG Spline ILLIQ Liquidity Analysis

Date Range:

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