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	1.9471	4.14***
αARCH	0.1031	7.83***
βGARCH	0.8777	59.10***

γ₁	-0.3460	-5.20***
γ₂	0.5483	5.30***
γ₃	-0.2050	-2.62***
γ₄	-0.0752	-0.88

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9471	4.14***
α ARCH Response to squared shocks	0.1031	7.83***
β GARCH Volatility persistence	0.8777	59.10***

γ₁	-0.3460	-5.20***
γ₂	0.5483	5.30***
γ₃	-0.2050	-2.62***
γ₄	-0.0752	-0.88

V-Lab

First Bank/Hamilton NJ Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other First Bank/Hamilton NJ Analyses