How volatility evolves over time

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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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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.3979	2.47**
β GARCH Volatility persistence	0.4381	3.72***
γ leverage Additional response to negative shocks	-0.3979	-1.51
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.12
λ₂ forecast adj. Forecast performance sensitivity	1.0000	16.69***
λ₃ tau persistence Long-term factor persistence	0.0000	10.00***

V-Lab

Carisma Therapeutics Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Carisma Therapeutics Inc Analyses