How volatility evolves over time

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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	0.6562	0.10
αARCH	0.1006	0.01
βGARCH	0.8994	0.10

γ₁	-1.1322	-0.04
γ₂	1.5033	0.04
γ₃	-0.3602	-0.02
γ₄	-0.1318	-0.01
γ₅	0.1911	0.04
γ₆	-0.1138	-0.04
γ₇	0.0025	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6562	0.10
α ARCH Response to squared shocks	0.1006	0.01
β GARCH Volatility persistence	0.8994	0.10

γ₁	-1.1322	-0.04
γ₂	1.5033	0.04
γ₃	-0.3602	-0.02
γ₄	-0.1318	-0.01
γ₅	0.1911	0.04
γ₆	-0.1138	-0.04
γ₇	0.0025	0.00

V-Lab

CRA International Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CRA International Inc Analyses