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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	0.8732	10.69***
αARCH	0.0661	1.92*
βGARCH	0.6419	4.99***

γ₁	-4.5910	-6.73***
γ₂	6.7066	6.15***
γ₃	-3.2519	-3.25***
γ₄	2.4592	1.33
γ₅	-3.9233	-1.20
γ₆	4.6396	1.34
γ₇	-3.5444	-1.33

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8732	10.69***
α ARCH Response to squared shocks	0.0661	1.92*
β GARCH Volatility persistence	0.6419	4.99***

γ₁	-4.5910	-6.73***
γ₂	6.7066	6.15***
γ₃	-3.2519	-3.25***
γ₄	2.4592	1.33
γ₅	-3.9233	-1.20
γ₆	4.6396	1.34
γ₇	-3.5444	-1.33

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Consensus Cloud Solutions Inc Spline ILLIQ Liquidity Analysis

Date Range:

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Illiquidity Forecast

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