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{name} Model Equation

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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	0.5199	2.14**
αARCH	0.1441	2.75***
βGARCH	0.6604	5.32***

γ₁	-16.2911	-1.95*
γ₂	12.0590	0.79
γ₃	18.7642	1.26
γ₄	-34.4212	-2.32**
γ₅	52.6503	4.62***
γ₆	-79.8582	-10.20***
γ₇	78.6964	12.64***
γ₈	-41.9079	-8.40***
γ₉	14.8068	2.38**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5199	2.14**
α ARCH Response to squared shocks	0.1441	2.75***
β GARCH Volatility persistence	0.6604	5.32***

γ₁	-16.2911	-1.95*
γ₂	12.0590	0.79
γ₃	18.7642	1.26
γ₄	-34.4212	-2.32**
γ₅	52.6503	4.62***
γ₆	-79.8582	-10.20***
γ₇	78.6964	12.64***
γ₈	-41.9079	-8.40***
γ₉	14.8068	2.38**

V-Lab

Angel Studios Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Angel Studios Inc Analyses