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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	1.3558	5.33***
αARCH	0.3380	4.81***
βGARCH	0.4756	4.40***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3558	5.33***
α ARCH Response to squared shocks	0.3380	4.81***
β GARCH Volatility persistence	0.4756	4.40***

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Our Bond Inc Spline ILLIQ Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Our Bond Inc Analyses