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	0.7865	1.91*
αARCH	0.3111	7.06***
βGARCH	0.6757	15.05***

γ₁	-9.8469	-2.59***
γ₂	16.5312	2.86***
γ₃	-9.0686	-2.58***
γ₄	1.3044	0.38
γ₅	2.8144	0.69
γ₆	-4.3172	-1.20
γ₇	9.2954	3.03***
γ₈	-18.1493	-4.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7865	1.91*
α ARCH Response to squared shocks	0.3111	7.06***
β GARCH Volatility persistence	0.6757	15.05***

γ₁	-9.8469	-2.59***
γ₂	16.5312	2.86***
γ₃	-9.0686	-2.58***
γ₄	1.3044	0.38
γ₅	2.8144	0.69
γ₆	-4.3172	-1.20
γ₇	9.2954	3.03***
γ₈	-18.1493	-4.93***

V-Lab

XChange TEC Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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