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
ωconst	6.9648
αARCH	0.2845
βGARCH	0.7155

γ₁	0.1096
γ₂	-0.2607
γ₃	0.2144
γ₄	0.0164

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.9648
α ARCH Response to squared shocks	0.2845
β GARCH Volatility persistence	0.7155

γ₁	0.1096
γ₂	-0.2607
γ₃	0.2144
γ₄	0.0164

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Tonix Pharmaceuticals Holding Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tonix Pharmaceuticals Holding Corp Analyses