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	1.0569	5.84***
αARCH	0.2216	9.25***
βGARCH	0.7361	23.12***

γ₁	-4.0357	-10.59***
γ₂	7.1674	11.17***
γ₃	-4.4907	-10.12***
γ₄	1.1772	2.93***
γ₅	0.9860	1.81*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0569	5.84***
α ARCH Response to squared shocks	0.2216	9.25***
β GARCH Volatility persistence	0.7361	23.12***

γ₁	-4.0357	-10.59***
γ₂	7.1674	11.17***
γ₃	-4.4907	-10.12***
γ₄	1.1772	2.93***
γ₅	0.9860	1.81*

V-Lab

Chemomab Therapeutics Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Chemomab Therapeutics Ltd Analyses