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	96
αARCH	0.2051	27.86***
βGARCH	0.8010	151.33***
γleverage	-0.1678	-14.70***
λ₁tau intercept	10.0000	2.85***
λ₂forecast adj.	0.9991	42.74***
λ₃tau persistence	0.0000	1.00

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.2051	27.86***
β GARCH Volatility persistence	0.8010	151.33***
γ leverage Additional response to negative shocks	-0.1678	-14.70***
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.85***
λ₂ forecast adj. Forecast performance sensitivity	0.9991	42.74***
λ₃ tau persistence Long-term factor persistence	0.0000	1.00

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