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

Spline Coefficients

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	1.7689	8.53***
αARCH	0.0822	9.26***
βGARCH	0.8983	83.95***

γ₁	-0.0206	-3.95***
γ₂	0.0434	4.25***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7689	8.53***
α ARCH Response to squared shocks	0.0822	9.26***
β GARCH Volatility persistence	0.8983	83.95***

γ₁	-0.0206	-3.95***
γ₂	0.0434	4.25***

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Date Range:

News Impact Curve

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