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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	0.9308	4.15***
αARCH	0.1658	0.05
βGARCH	0.8342	0.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9308	4.15***
α ARCH Response to squared shocks	0.1658	0.05
β GARCH Volatility persistence	0.8342	0.24

V-Lab

Cubtek Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cubtek Inc Analyses