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

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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	0.0227	2.33**
αARCH	0.1624	3.67***
βGARCH	0.7954	48.83***
γleverage	0.0845	1.79*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0227	2.33**
α ARCH Response to squared shocks	0.1624	3.67***
β GARCH Volatility persistence	0.7954	48.83***
γ leverage Additional response to negative shocks	0.0845	1.79*

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Telcon Rf Pharmaceutical Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Telcon Rf Pharmaceutical Inc Analyses