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	0.9498	5.05***
αARCH	0.5138	5.91***
βGARCH	0.4861	5.59***

γ₁	-27.5727	-2.71***
γ₂	23.0328	1.69*
γ₃	15.4623	2.49**
γ₄	-15.3646	-2.55**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9498	5.05***
α ARCH Response to squared shocks	0.5138	5.91***
β GARCH Volatility persistence	0.4861	5.59***

γ₁	-27.5727	-2.71***
γ₂	23.0328	1.69*
γ₃	15.4623	2.49**
γ₄	-15.3646	-2.55**

V-Lab

Qyuns Therapeutics Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Qyuns Therapeutics Co Ltd Analyses