How volatility 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	13.5879	2.38**
αARCH	0.3417	6.32***
βGARCH	0.6427	18.35***

γ₁	-0.6227	-0.47
γ₂	2.3586	1.28
γ₃	-17.3041	-5.49***
γ₄	32.7843	3.89***
γ₅	-7.2871	-0.73
γ₆	-27.0642	-2.78***
γ₇	24.6350	3.74***
γ₈	-11.1810	-3.00***
γ₉	2.4916	0.72
γ₁₀	5.8077	0.97

Parameter	Value	t-statistic
ω const Unconditional variance weight	13.5879	2.38**
α ARCH Response to squared shocks	0.3417	6.32***
β GARCH Volatility persistence	0.6427	18.35***

γ₁	-0.6227	-0.47
γ₂	2.3586	1.28
γ₃	-17.3041	-5.49***
γ₄	32.7843	3.89***
γ₅	-7.2871	-0.73
γ₆	-27.0642	-2.78***
γ₇	24.6350	3.74***
γ₈	-11.1810	-3.00***
γ₉	2.4916	0.72
γ₁₀	5.8077	0.97

V-Lab

Quercus Tfi Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Quercus Tfi Sa Analyses