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	5.0000	0.00
αARCH	0.2194	1.60
βGARCH	0.7355	10.79***
γleverage	0.0903	0.37

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.00
α ARCH Response to squared shocks	0.2194	1.60
β GARCH Volatility persistence	0.7355	10.79***
γ leverage Additional response to negative shocks	0.0903	0.37

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Our Bond Inc Asymmetric ILLIQ Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Our Bond Inc Analyses