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	1.1912	1.29
αARCH	0.0515	5.77***
βGARCH	0.9305	114.24***
γleverage	0.0360	3.43***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1912	1.29
α ARCH Response to squared shocks	0.0515	5.77***
β GARCH Volatility persistence	0.9305	114.24***
γ leverage Additional response to negative shocks	0.0360	3.43***

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