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	0.0471
αARCH	0.2903
βGARCH	0.7097

γ₁	-9.2443
γ₂	14.8670
γ₃	-2.3378
γ₄	2.3997
γ₅	-14.9662
γ₆	28.4782
γ₇	-38.5625

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0471
α ARCH Response to squared shocks	0.2903
β GARCH Volatility persistence	0.7097

γ₁	-9.2443
γ₂	14.8670
γ₃	-2.3378
γ₄	2.3997
γ₅	-14.9662
γ₆	28.4782
γ₇	-38.5625

V-Lab

Genesis Healthcare Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Genesis Healthcare Inc Analyses