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	2.3679	2.09**
αARCH	0.3015	5.46***
βGARCH	0.6964	12.73***

γ₁	-2.2637	-3.29***
γ₂	3.5825	3.09***
γ₃	-1.8519	-2.29**
γ₄	0.8130	1.20
γ₅	0.1219	0.16
γ₆	-1.0823	-1.39
γ₇	0.5147	0.64
γ₈	0.7346	1.27
γ₉	-4.7044	-2.83***
γ₁₀	14.6345	3.00***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3679	2.09**
α ARCH Response to squared shocks	0.3015	5.46***
β GARCH Volatility persistence	0.6964	12.73***

γ₁	-2.2637	-3.29***
γ₂	3.5825	3.09***
γ₃	-1.8519	-2.29**
γ₄	0.8130	1.20
γ₅	0.1219	0.16
γ₆	-1.0823	-1.39
γ₇	0.5147	0.64
γ₈	0.7346	1.27
γ₉	-4.7044	-2.83***
γ₁₀	14.6345	3.00***

V-Lab

MCR SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MCR SA Analyses