How volatility evolves over time

How illiquidity evolves over time

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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	1.3860	0.49
αARCH	0.1023	0.05
βGARCH	0.8977	0.47

γ₁	0.0161	0.02
γ₂	-0.0586	-0.53

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3860	0.49
α ARCH Response to squared shocks	0.1023	0.05
β GARCH Volatility persistence	0.8977	0.47

γ₁	0.0161	0.02
γ₂	-0.0586	-0.53

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AT&T Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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