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	1.1148	3.93***
αARCH	0.2066	4.02***
βGARCH	0.0000	0.00

γ₁	-1.2999	-0.39
γ₂	0.5114	0.10
γ₃	4.0274	1.32
γ₄	-6.7708	-2.39**
γ₅	5.7815	2.02**
γ₆	-5.1510	-2.14**
γ₇	3.7068	1.82*
γ₈	1.0179	0.65
γ₉	-2.9343	-2.35**
γ₁₀	4.0675	2.55**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1148	3.93***
α ARCH Response to squared shocks	0.2066	4.02***
β GARCH Volatility persistence	0.0000	0.00

γ₁	-1.2999	-0.39
γ₂	0.5114	0.10
γ₃	4.0274	1.32
γ₄	-6.7708	-2.39**
γ₅	5.7815	2.02**
γ₆	-5.1510	-2.14**
γ₇	3.7068	1.82*
γ₈	1.0179	0.65
γ₉	-2.9343	-2.35**
γ₁₀	4.0675	2.55**

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DH Group Nyrt Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other DH Group Nyrt Analyses