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
mwindow	126
αARCH	0.1949	23.72***
βGARCH	0.8116	126.47***
γleverage	-0.0238	-2.94***
λ₁tau intercept	6.3142	0.79
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9982	177.47***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1949	23.72***
β GARCH Volatility persistence	0.8116	126.47***
γ leverage Additional response to negative shocks	-0.0238	-2.94***
λ₁ tau intercept Baseline long-term coefficient	6.3142	0.79
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9982	177.47***

V-Lab

Tonix Pharmaceuticals Holding Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tonix Pharmaceuticals Holding Corp Analyses