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How illiquidity evolves over time

{name} Model Equation

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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	0.9461	4.15***
αARCH	0.0000	0.00
βGARCH	0.9971	2.20**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9461	4.15***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9971	2.20**

V-Lab

Starz Entertainment Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Starz Entertainment Corp Analyses