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
αARCH	0.0148	0.49
βGARCH	0.9925	163.16***
γleverage	-0.0148	-0.21
λ₁tau intercept	21,898,616,133,135.6370

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0148	0.49
β GARCH Volatility persistence	0.9925	163.16***
γ leverage Additional response to negative shocks	-0.0148	-0.21
λ₁ tau intercept Baseline long-term coefficient	21,898,616,133,135.6370

V-Lab

Genesis Healthcare Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Genesis Healthcare Inc Analyses