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	1.5208	2.50**
αARCH	0.3012	2.16**
βGARCH	0.4776	2.39**

γ₁	-19.6391	-2.41**
γ₂	32.1358	2.63***
γ₃	-16.3399	-2.39**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5208	2.50**
α ARCH Response to squared shocks	0.3012	2.16**
β GARCH Volatility persistence	0.4776	2.39**

γ₁	-19.6391	-2.41**
γ₂	32.1358	2.63***
γ₃	-16.3399	-2.39**

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Xanadu Quantum Technologies Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

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