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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	0.7041	0.82
αARCH	0.3486	0.04
βGARCH	0.6514	0.07

γ₁	-0.6187	-0.05
γ₂	2.1160	0.08
γ₃	-5.6007	-0.08
γ₄	6.4532	0.70
γ₅	-4.7102	-0.17
γ₆	7.9507	0.03
γ₇	-12.8144	-0.04
γ₈	36.0085	0.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7041	0.82
α ARCH Response to squared shocks	0.3486	0.04
β GARCH Volatility persistence	0.6514	0.07

γ₁	-0.6187	-0.05
γ₂	2.1160	0.08
γ₃	-5.6007	-0.08
γ₄	6.4532	0.70
γ₅	-4.7102	-0.17
γ₆	7.9507	0.03
γ₇	-12.8144	-0.04
γ₈	36.0085	0.03

V-Lab

Carisma Therapeutics Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Carisma Therapeutics Inc Analyses