How volatility evolves over time

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{name} Model Equation

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	0.4729	4.57***
αARCH	0.0889	4.73***
βGARCH	0.8199	21.64***

γ₁	0.1865	1.48
γ₂	-0.4107	-1.88*
γ₃	0.1580	0.87
γ₄	0.1950	1.38
γ₅	0.0010	0.01
γ₆	-0.4119	-2.19**
γ₇	0.4885	2.50**
γ₈	-0.5306	-3.43***
γ₉	0.6799	4.42***
γ₁₀	-0.7030	-2.99***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4729	4.57***
α ARCH Response to squared shocks	0.0889	4.73***
β GARCH Volatility persistence	0.8199	21.64***

γ₁	0.1865	1.48
γ₂	-0.4107	-1.88*
γ₃	0.1580	0.87
γ₄	0.1950	1.38
γ₅	0.0010	0.01
γ₆	-0.4119	-2.19**
γ₇	0.4885	2.50**
γ₈	-0.5306	-3.43***
γ₉	0.6799	4.42***
γ₁₀	-0.7030	-2.99***

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Date Range:

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