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
ωconst	0.9602	4.43***
αARCH	0.2257	16.20***
βGARCH	0.7741	55.50***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9602	4.43***
α ARCH Response to squared shocks	0.2257	16.20***
β GARCH Volatility persistence	0.7741	55.50***

V-Lab

Telcon Rf Pharmaceutical Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Telcon Rf Pharmaceutical Inc Analyses