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How returns affect tomorrow's illiquidity

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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	13.3027	0.01
αARCH	0.0925	0.01
βGARCH	0.9075	0.05

Parameter	Value	t-statistic
ω const Unconditional variance weight	13.3027	0.01
α ARCH Response to squared shocks	0.0925	0.01
β GARCH Volatility persistence	0.9075	0.05

V-Lab

Him Intl Music Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Him Intl Music Inc Analyses