How volatility evolves over time

How illiquidity 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	1.0052	8.10***
αARCH	0.0525	14.59***
βGARCH	0.9448	252.50***

γ₁	0.0005	0.24
γ₂	-0.0053	-1.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0052	8.10***
α ARCH Response to squared shocks	0.0525	14.59***
β GARCH Volatility persistence	0.9448	252.50***

γ₁	0.0005	0.24
γ₂	-0.0053	-1.21

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Microsoft Corp Spline ILLIQ Liquidity Analysis

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