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	0.9584	0.40
αARCH	0.0789	0.01
βGARCH	0.9211	0.08

γ₁	-0.1492	-0.01
γ₂	0.1956	0.01
γ₃	-0.0917	-0.27

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9584	0.40
α ARCH Response to squared shocks	0.0789	0.01
β GARCH Volatility persistence	0.9211	0.08

γ₁	-0.1492	-0.01
γ₂	0.1956	0.01
γ₃	-0.0917	-0.27

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C&F Financial Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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