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	1.9682	2.06**
αARCH	0.2173	20.16***
βGARCH	0.7825	71.99***

γ₁	-0.1344	-0.35
γ₂	-1.4654	-2.07**
γ₃	4.7069	5.05***
γ₄	-5.7447	-6.23***
γ₅	3.8114	7.32***
γ₆	-1.3857	-4.49***
γ₇	0.1603	0.55
γ₈	0.0612	0.24
γ₉	-0.8165	-1.93*
γ₁₀	2.5893	2.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9682	2.06**
α ARCH Response to squared shocks	0.2173	20.16***
β GARCH Volatility persistence	0.7825	71.99***

γ₁	-0.1344	-0.35
γ₂	-1.4654	-2.07**
γ₃	4.7069	5.05***
γ₄	-5.7447	-6.23***
γ₅	3.8114	7.32***
γ₆	-1.3857	-4.49***
γ₇	0.1603	0.55
γ₈	0.0612	0.24
γ₉	-0.8165	-1.93*
γ₁₀	2.5893	2.98***

V-Lab

eMagin Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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