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	11.4508	1.63
αARCH	0.3264	6.13***
βGARCH	0.6514	18.04***

γ₁	-0.6719	-0.56
γ₂	2.4904	1.48
γ₃	-17.7401	-5.70***
γ₄	33.2055	4.01***
γ₅	-6.6146	-0.65
γ₆	-28.2666	-2.77***
γ₇	24.9603	3.64***
γ₈	-10.8401	-2.83***
γ₉	1.7531	0.50
γ₁₀	7.3874	1.28

Parameter	Value	t-statistic
ω const Unconditional variance weight	11.4508	1.63
α ARCH Response to squared shocks	0.3264	6.13***
β GARCH Volatility persistence	0.6514	18.04***

γ₁	-0.6719	-0.56
γ₂	2.4904	1.48
γ₃	-17.7401	-5.70***
γ₄	33.2055	4.01***
γ₅	-6.6146	-0.65
γ₆	-28.2666	-2.77***
γ₇	24.9603	3.64***
γ₈	-10.8401	-2.83***
γ₉	1.7531	0.50
γ₁₀	7.3874	1.28

V-Lab

Quercus Tfi Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Quercus Tfi Sa Analyses