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	0.9521	5.14***
αARCH	0.4991	8.47***
βGARCH	0.5008	8.50***

γ₁	-27.1779	-2.91***
γ₂	23.5015	1.84*
γ₃	13.7154	2.21**
γ₄	-11.5829	-1.74*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9521	5.14***
α ARCH Response to squared shocks	0.4991	8.47***
β GARCH Volatility persistence	0.5008	8.50***

γ₁	-27.1779	-2.91***
γ₂	23.5015	1.84*
γ₃	13.7154	2.21**
γ₄	-11.5829	-1.74*

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