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	0.9764	3.49***
αARCH	0.1601	20.23***
βGARCH	0.8371	109.85***

γ₁	-0.0444	-4.98***
γ₂	0.0979	7.47***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9764	3.49***
α ARCH Response to squared shocks	0.1601	20.23***
β GARCH Volatility persistence	0.8371	109.85***

γ₁	-0.0444	-4.98***
γ₂	0.0979	7.47***

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Date Range:

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