How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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	0.5635	2.47**
αARCH	0.5333	1.49
βGARCH	0.1817	1.35

γ₁	-2.0901	-1.37
γ₂	0.8121	0.35
γ₃	-0.5419	-0.37
γ₄	5.5774	4.99***
γ₅	-5.2116	-5.01***
γ₆	3.0417	2.17**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5635	2.47**
α ARCH Response to squared shocks	0.5333	1.49
β GARCH Volatility persistence	0.1817	1.35

γ₁	-2.0901	-1.37
γ₂	0.8121	0.35
γ₃	-0.5419	-0.37
γ₄	5.5774	4.99***
γ₅	-5.2116	-5.01***
γ₆	3.0417	2.17**

V-Lab

Clarity Pharmaceuticals Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Clarity Pharmaceuticals Ltd Analyses