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{name} Model Equation

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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9376	7.56***
α ARCH Response to squared shocks	0.1656	22.18***
β GARCH Volatility persistence	0.8343	111.77***

γ₁	-0.0468	-5.02***
γ₂	0.0736	5.19***

V-Lab

Agenus Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Agenus Inc Analyses