How volatility evolves over time

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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	1.7361	11.88***
αARCH	0.1187	1.46
βGARCH	0.0000	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7361	11.88***
α ARCH Response to squared shocks	0.1187	1.46
β GARCH Volatility persistence	0.0000	0.00

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Lumexa Imaging Holdings Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Lumexa Imaging Holdings Inc Analyses