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	3.2216	1.29
αARCH	0.1665	5.65***
βGARCH	0.8264	31.62***

γ₁	0.7199	1.68*
γ₂	-1.5152	-2.73***
γ₃	1.8717	3.49***
γ₄	-1.7476	-1.98**
γ₅	0.7774	0.84
γ₆	-0.2428	-0.38
γ₇	0.0205	0.05
γ₈	0.7653	2.13**
γ₉	-1.6121	-6.33***
γ₁₀	1.9718	3.70***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.2216	1.29
α ARCH Response to squared shocks	0.1665	5.65***
β GARCH Volatility persistence	0.8264	31.62***

γ₁	0.7199	1.68*
γ₂	-1.5152	-2.73***
γ₃	1.8717	3.49***
γ₄	-1.7476	-1.98**
γ₅	0.7774	0.84
γ₆	-0.2428	-0.38
γ₇	0.0205	0.05
γ₈	0.7653	2.13**
γ₉	-1.6121	-6.33***
γ₁₀	1.9718	3.70***

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Aitken Spence Plc Spline ILLIQ Liquidity Analysis

Date Range:

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