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

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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	1.4440	3.35***
αARCH	0.2023	6.83***
βGARCH	0.7947	27.60***

γ₁	-3.1713	-1.20
γ₂	6.4730	1.85*
γ₃	-5.8325	-3.28***
γ₄	3.2776	1.96*
γ₅	-0.5329	-0.29
γ₆	-6.8865	-2.47**
γ₇	17.7452	4.41***
γ₈	-14.7765	-4.51***
γ₉	1.3316	0.65
γ₁₀	6.5188	2.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4440	3.35***
α ARCH Response to squared shocks	0.2023	6.83***
β GARCH Volatility persistence	0.7947	27.60***

γ₁	-3.1713	-1.20
γ₂	6.4730	1.85*
γ₃	-5.8325	-3.28***
γ₄	3.2776	1.96*
γ₅	-0.5329	-0.29
γ₆	-6.8865	-2.47**
γ₇	17.7452	4.41***
γ₈	-14.7765	-4.51***
γ₉	1.3316	0.65
γ₁₀	6.5188	2.92***

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Development Invt Constr Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Development Invt Constr Analyses