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	2.3221	0.52
αARCH	0.0983	4.15***
βGARCH	0.9406	116.25***
γleverage	-0.0778	-2.07**

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3221	0.52
α ARCH Response to squared shocks	0.0983	4.15***
β GARCH Volatility persistence	0.9406	116.25***
γ leverage Additional response to negative shocks	-0.0778	-2.07**

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Date Range:

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