How volatility evolves over time

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{name} Model Equation

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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	1.2531	0.22
αARCH	0.0823	0.01
βGARCH	0.9177	0.14

γ₁	-0.1069	0.00
γ₂	0.0541	0.00
γ₃	0.1042	0.02
γ₄	-0.0610	-0.01
γ₅	-0.0194	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2531	0.22
α ARCH Response to squared shocks	0.0823	0.01
β GARCH Volatility persistence	0.9177	0.14

γ₁	-0.1069	0.00
γ₂	0.0541	0.00
γ₃	0.1042	0.02
γ₄	-0.0610	-0.01
γ₅	-0.0194	0.00

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