How volatility evolves over time

How illiquidity evolves over time

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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	0.7744	1.64
αARCH	0.2035	9.64***
βGARCH	0.7906	34.29***

γ₁	0.3436	0.22
γ₂	0.3936	0.17
γ₃	-2.4254	-2.16**
γ₄	2.8510	2.62***
γ₅	-4.5372	-3.18***
γ₆	8.4872	6.25***
γ₇	-9.3374	-5.83***
γ₈	6.9031	3.73***
γ₉	-3.5444	-2.21**
γ₁₀	1.3038	0.94

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7744	1.64
α ARCH Response to squared shocks	0.2035	9.64***
β GARCH Volatility persistence	0.7906	34.29***

γ₁	0.3436	0.22
γ₂	0.3936	0.17
γ₃	-2.4254	-2.16**
γ₄	2.8510	2.62***
γ₅	-4.5372	-3.18***
γ₆	8.4872	6.25***
γ₇	-9.3374	-5.83***
γ₈	6.9031	3.73***
γ₉	-3.5444	-2.21**
γ₁₀	1.3038	0.94

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