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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6048	4.16***
α ARCH Response to squared shocks	0.1247	8.57***
β GARCH Volatility persistence	0.8658	58.66***

γ₁	-0.3364	-4.51***
γ₂	0.5576	4.94***
γ₃	-0.3598	-4.81***
γ₄	0.1344	1.51

V-Lab

Perma-Fix Environmental Services Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Perma-Fix Environmental Services Analyses