How volatility evolves over time

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{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	1.4026	3.31***
αARCH	0.2000	6.71***
βGARCH	0.7969	27.59***

γ₁	-3.3474	-1.26
γ₂	6.7715	1.92*
γ₃	-5.9657	-3.30***
γ₄	3.1706	1.86*
γ₅	-0.1339	-0.07
γ₆	-7.3438	-2.87***
γ₇	17.4800	5.11***
γ₈	-13.5406	-4.83***
γ₉	-0.0036	0.00
γ₁₀	7.2309	3.53***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4026	3.31***
α ARCH Response to squared shocks	0.2000	6.71***
β GARCH Volatility persistence	0.7969	27.59***

γ₁	-3.3474	-1.26
γ₂	6.7715	1.92*
γ₃	-5.9657	-3.30***
γ₄	3.1706	1.86*
γ₅	-0.1339	-0.07
γ₆	-7.3438	-2.87***
γ₇	17.4800	5.11***
γ₈	-13.5406	-4.83***
γ₉	-0.0036	0.00
γ₁₀	7.2309	3.53***

V-Lab

Development Invt Constr Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Development Invt Constr Analyses