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	1.2385	1.43
αARCH	0.2031	3.27***
βGARCH	0.7967	12.88***

γ₁	-1.1489	-0.10
γ₂	10.9071	0.59
γ₃	-24.9901	-1.84*
γ₄	21.4928	2.01**
γ₅	-2.5318	-0.37
γ₆	-6.5512	-1.67*
γ₇	2.8453	0.66
γ₈	-5.3175	-1.12
γ₉	14.5224	3.61***
γ₁₀	-13.6993	-2.54**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2385	1.43
α ARCH Response to squared shocks	0.2031	3.27***
β GARCH Volatility persistence	0.7967	12.88***

γ₁	-1.1489	-0.10
γ₂	10.9071	0.59
γ₃	-24.9901	-1.84*
γ₄	21.4928	2.01**
γ₅	-2.5318	-0.37
γ₆	-6.5512	-1.67*
γ₇	2.8453	0.66
γ₈	-5.3175	-1.12
γ₉	14.5224	3.61***
γ₁₀	-13.6993	-2.54**

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Date Range:

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