How volatility evolves over time

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{name} Model Equation

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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	0.5527	2.12**
αARCH	0.1155	9.86***
βGARCH	0.8698	65.88***

γ₁	-0.2072	-2.40**
γ₂	0.3275	2.77***
γ₃	-0.2211	-3.94***
γ₄	0.0533	0.93
γ₅	0.1493	2.11**
γ₆	-0.2068	-2.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5527	2.12**
α ARCH Response to squared shocks	0.1155	9.86***
β GARCH Volatility persistence	0.8698	65.88***

γ₁	-0.2072	-2.40**
γ₂	0.3275	2.77***
γ₃	-0.2211	-3.94***
γ₄	0.0533	0.93
γ₅	0.1493	2.11**
γ₆	-0.2068	-2.63***

V-Lab

Unity Bancorp Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Unity Bancorp Inc Analyses