How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

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	0.5636	0.01
αARCH	0.2726	0.00
βGARCH	0.7273	0.00

γ₁	-0.8188	0.00
γ₂	1.2429	0.00
γ₃	0.8504	0.00
γ₄	-0.1128	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5636	0.01
α ARCH Response to squared shocks	0.2726	0.00
β GARCH Volatility persistence	0.7273	0.00

γ₁	-0.8188	0.00
γ₂	1.2429	0.00
γ₃	0.8504	0.00
γ₄	-0.1128	0.00

V-Lab

Carisma Therapeutics Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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