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	1.4983	3.23***
αARCH	0.0485	4.84***
βGARCH	0.9153	126.25***
γleverage	0.0600	2.88***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4983	3.23***
α ARCH Response to squared shocks	0.0485	4.84***
β GARCH Volatility persistence	0.9153	126.25***
γ leverage Additional response to negative shocks	0.0600	2.88***

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Paycom Software Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Paycom Software Inc Analyses