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	1.5014	5.29***
αARCH	0.1176	13.61***
βGARCH	0.8512	65.36***

γ₁	-0.2849	-7.81***
γ₂	0.4771	8.26***
γ₃	-0.2752	-6.39***
γ₄	0.1000	3.04***
γ₅	0.0248	1.02
γ₆	-0.1461	-4.99***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5014	5.29***
α ARCH Response to squared shocks	0.1176	13.61***
β GARCH Volatility persistence	0.8512	65.36***

γ₁	-0.2849	-7.81***
γ₂	0.4771	8.26***
γ₃	-0.2752	-6.39***
γ₄	0.1000	3.04***
γ₅	0.0248	1.02
γ₆	-0.1461	-4.99***

V-Lab

Sierra Bancorp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sierra Bancorp Analyses