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	0.1376
αARCH	0.2723
βGARCH	0.7277

γ₁	-6.7096
γ₂	9.1864
γ₃	-2.6394
γ₄	3.1174
γ₅	-0.0541
γ₆	8.8830
γ₇	-15.2301

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1376
α ARCH Response to squared shocks	0.2723
β GARCH Volatility persistence	0.7277

γ₁	-6.7096
γ₂	9.1864
γ₃	-2.6394
γ₄	3.1174
γ₅	-0.0541
γ₆	8.8830
γ₇	-15.2301

V-Lab

Genesis Healthcare Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Genesis Healthcare Inc Analyses