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

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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	0.9186
αARCH	0.0733
βGARCH	0.9267

γ₁	0.0258
γ₂	-0.0408
γ₃	0.0195

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9186
α ARCH Response to squared shocks	0.0733
β GARCH Volatility persistence	0.9267

γ₁	0.0258
γ₂	-0.0408
γ₃	0.0195

V-Lab

AT&T Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AT&T Inc Analyses