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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	0.0381
αARCH	0.2295
βGARCH	0.7705

γ₁	-10.8434
γ₂	16.0805
γ₃	-2.4215
γ₄	-0.1461
γ₅	-0.3280
γ₆	-0.8056
γ₇	8.0258
γ₈	-17.3115

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0381
α ARCH Response to squared shocks	0.2295
β GARCH Volatility persistence	0.7705

γ₁	-10.8434
γ₂	16.0805
γ₃	-2.4215
γ₄	-0.1461
γ₅	-0.3280
γ₆	-0.8056
γ₇	8.0258
γ₈	-17.3115

V-Lab

Genesis Healthcare Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Genesis Healthcare Inc Analyses