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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	1.7861	1.61
αARCH	0.1576	5.07***
βGARCH	0.8265	22.39***

γ₁	-7.9394	-3.44***
γ₂	14.8238	4.24***
γ₃	-9.9609	-5.02***
γ₄	3.6800	2.91***
γ₅	-1.0561	-1.05
γ₆	0.5829	0.49

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7861	1.61
α ARCH Response to squared shocks	0.1576	5.07***
β GARCH Volatility persistence	0.8265	22.39***

γ₁	-7.9394	-3.44***
γ₂	14.8238	4.24***
γ₃	-9.9609	-5.02***
γ₄	3.6800	2.91***
γ₅	-1.0561	-1.05
γ₆	0.5829	0.49

V-Lab

Strata Critical Medical Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Strata Critical Medical Inc Analyses