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	1.0577	7.95***
αARCH	0.0678	7.71***
βGARCH	0.9312	112.43***

γ₁	-0.0089	-1.76*
γ₂	0.0177	2.00**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0577	7.95***
α ARCH Response to squared shocks	0.0678	7.71***
β GARCH Volatility persistence	0.9312	112.43***

γ₁	-0.0089	-1.76*
γ₂	0.0177	2.00**

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CVS Health Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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