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
mwindow	26
αARCH	0.2031	13.74***
βGARCH	0.7573	48.54***
γleverage	0.0784	5.01***
λ₁tau intercept	10.0000	2.95***
λ₂forecast adj.	0.8735	5.28***
λ₃tau persistence	0.1265	0.79

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2031	13.74***
β GARCH Volatility persistence	0.7573	48.54***
γ leverage Additional response to negative shocks	0.0784	5.01***
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.95***
λ₂ forecast adj. Forecast performance sensitivity	0.8735	5.28***
λ₃ tau persistence Long-term factor persistence	0.1265	0.79

V-Lab

Telcon Rf Pharmaceutical Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Telcon Rf Pharmaceutical Inc Analyses