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

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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	0.2245	1.58
βGARCH	0.7484	12.42***
γleverage	0.0541	0.23

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.00
α ARCH Response to squared shocks	0.2245	1.58
β GARCH Volatility persistence	0.7484	12.42***
γ leverage Additional response to negative shocks	0.0541	0.23

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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