How volatility evolves over time

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How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	0.4235	2.77***
αARCH	0.0532	3.00***
βGARCH	0.8449	12.18***

γ₁	-0.7697	-0.80
γ₂	-1.2875	-0.90
γ₃	3.9607	3.64***
γ₄	-2.5444	-2.56**
γ₅	-0.0213	-0.03
γ₆	1.6620	2.01**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4235	2.77***
α ARCH Response to squared shocks	0.0532	3.00***
β GARCH Volatility persistence	0.8449	12.18***

γ₁	-0.7697	-0.80
γ₂	-1.2875	-0.90
γ₃	3.9607	3.64***
γ₄	-2.5444	-2.56**
γ₅	-0.0213	-0.03
γ₆	1.6620	2.01**

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Contact Financial Holding Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Contact Financial Holding Analyses