How volatility evolves over time

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{name} Model Equation

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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	0.6575	1.95*
αARCH	0.0213	1.59
βGARCH	0.9228	101.04***
γleverage	0.0970	3.38***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6575	1.95*
α ARCH Response to squared shocks	0.0213	1.59
β GARCH Volatility persistence	0.9228	101.04***
γ leverage Additional response to negative shocks	0.0970	3.38***

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