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	0.8817	3.21***
αARCH	0.0942	0.86
βGARCH	0.9057	8.31***

γ₁	-0.8766	-2.64***
γ₂	1.3582	2.58***
γ₃	-0.6695	-2.12**
γ₄	0.2044	1.25
γ₅	-0.0130	-0.15
γ₆	-0.0668	-0.69

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8817	3.21***
α ARCH Response to squared shocks	0.0942	0.86
β GARCH Volatility persistence	0.9057	8.31***

γ₁	-0.8766	-2.64***
γ₂	1.3582	2.58***
γ₃	-0.6695	-2.12**
γ₄	0.2044	1.25
γ₅	-0.0130	-0.15
γ₆	-0.0668	-0.69

V-Lab

CRA International Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CRA International Inc Analyses