How volatility evolves over time

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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	0.1044
αARCH	0.5473
βGARCH	0.4527

γ₁	-46.1063
γ₂	34.5251
γ₃	12.0908
γ₄	3.1937
γ₅	5.8563
γ₆	11.1459
γ₇	12.9918
γ₈	11.4301
γ₉	1.8866
γ₁₀	-32.7343

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1044
α ARCH Response to squared shocks	0.5473
β GARCH Volatility persistence	0.4527

γ₁	-46.1063
γ₂	34.5251
γ₃	12.0908
γ₄	3.1937
γ₅	5.8563
γ₆	11.1459
γ₇	12.9918
γ₈	11.4301
γ₉	1.8866
γ₁₀	-32.7343

V-Lab

Biora Therapeutics Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Biora Therapeutics Inc Analyses