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	3.8179	3.08***
αARCH	0.1997	5.84***
βGARCH	0.7375	16.28***

γ₁	0.3956	2.42**
γ₂	-0.8025	-3.17***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.8179	3.08***
α ARCH Response to squared shocks	0.1997	5.84***
β GARCH Volatility persistence	0.7375	16.28***

γ₁	0.3956	2.42**
γ₂	-0.8025	-3.17***

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USCB Financial Holdings Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other USCB Financial Holdings Inc Analyses