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	10.7367	3.50***
αARCH	0.1865	6.38***
βGARCH	0.7930	23.58***

γ₁	0.5158	2.60***
γ₂	-0.7187	-2.29**

Parameter	Value	t-statistic
ω const Unconditional variance weight	10.7367	3.50***
α ARCH Response to squared shocks	0.1865	6.38***
β GARCH Volatility persistence	0.7930	23.58***

γ₁	0.5158	2.60***
γ₂	-0.7187	-2.29**

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Date Range:

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