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	1.0988	11.83***
αARCH	0.0470	11.79***
βGARCH	0.9467	213.66***

γ₁	-0.0413	-7.51***
γ₂	0.0514	5.67***
γ₃	-0.0040	-0.57
γ₄	-0.0060	-0.72

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0988	11.83***
α ARCH Response to squared shocks	0.0470	11.79***
β GARCH Volatility persistence	0.9467	213.66***

γ₁	-0.0413	-7.51***
γ₂	0.0514	5.67***
γ₃	-0.0040	-0.57
γ₄	-0.0060	-0.72

V-Lab

AT&T Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AT&T Inc Analyses