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	1.0964	7.37***
αARCH	0.0540	13.32***
βGARCH	0.9401	214.93***

γ₁	-0.0260	-8.27***
γ₂	0.0397	8.18***
γ₃	-0.0220	-4.55***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0964	7.37***
α ARCH Response to squared shocks	0.0540	13.32***
β GARCH Volatility persistence	0.9401	214.93***

γ₁	-0.0260	-8.27***
γ₂	0.0397	8.18***
γ₃	-0.0220	-4.55***

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Caterpillar Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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