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	4.3188	1.26
αARCH	0.7958	76.65***
βGARCH	0.1998	52.00***

γ₁	0.9700	0.24
γ₂	-19.8059	-0.33
γ₃	55.2979	0.33
γ₄	-56.7048	-0.34
γ₅	21.7970	0.37
γ₆	-42.1157	-7.13***
γ₇	145.1155	24.72***
γ₈	-275.3121	-14.73***
γ₉	381.2555	12.41***

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3188	1.26
α ARCH Response to squared shocks	0.7958	76.65***
β GARCH Volatility persistence	0.1998	52.00***

γ₁	0.9700	0.24
γ₂	-19.8059	-0.33
γ₃	55.2979	0.33
γ₄	-56.7048	-0.34
γ₅	21.7970	0.37
γ₆	-42.1157	-7.13***
γ₇	145.1155	24.72***
γ₈	-275.3121	-14.73***
γ₉	381.2555	12.41***

V-Lab

Orion Pharma Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Orion Pharma Ltd Analyses