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

Spline Coefficients

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
mwindow	91
αARCH	0.2117	127.69***
βGARCH	0.8891	523.64***
γleverage	-0.2117	-102.08***
λ₁tau intercept	0.0003	1.71*
λ₂forecast adj.	0.0000	1.59
λ₃tau persistence	0.0000	10.00***

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.2117	127.69***
β GARCH Volatility persistence	0.8891	523.64***
γ leverage Additional response to negative shocks	-0.2117	-102.08***
λ₁ tau intercept Baseline long-term coefficient	0.0003	1.71*
λ₂ forecast adj. Forecast performance sensitivity	0.0000	1.59
λ₃ tau persistence Long-term factor persistence	0.0000	10.00***

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Our Bond Inc ILLIQ-MFMEM Liquidity Analysis

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