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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	30.2490	0.00
αARCH	0.2359	0.00
βGARCH	0.7641	0.01

γ₁	-0.2220	-0.08
γ₂	0.9593	0.04
γ₃	-2.9763	-0.04
γ₄	5.2350	0.03
γ₅	-4.3278	-0.02
γ₆	1.4824	0.01
γ₇	-0.3359	-0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	30.2490	0.00
α ARCH Response to squared shocks	0.2359	0.00
β GARCH Volatility persistence	0.7641	0.01

γ₁	-0.2220	-0.08
γ₂	0.9593	0.04
γ₃	-2.9763	-0.04
γ₄	5.2350	0.03
γ₅	-4.3278	-0.02
γ₆	1.4824	0.01
γ₇	-0.3359	-0.01

V-Lab

OPKO Health Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other OPKO Health Inc Analyses