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	1.2556	5.01***
αARCH	0.0787	13.77***
βGARCH	0.9126	141.38***

γ₁	-0.0129	-1.77*
γ₂	0.0244	2.22**
γ₃	-0.0072	-0.70

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2556	5.01***
α ARCH Response to squared shocks	0.0787	13.77***
β GARCH Volatility persistence	0.9126	141.38***

γ₁	-0.0129	-1.77*
γ₂	0.0244	2.22**
γ₃	-0.0072	-0.70

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Crown Castle Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Crown Castle Inc Analyses