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	1.3927	2.44**
αARCH	0.2936	2.04**
βGARCH	0.4802	2.28**

γ₁	-22.1375	-2.62***
γ₂	34.6291	2.84***
γ₃	-12.7774	-1.93*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3927	2.44**
α ARCH Response to squared shocks	0.2936	2.04**
β GARCH Volatility persistence	0.4802	2.28**

γ₁	-22.1375	-2.62***
γ₂	34.6291	2.84***
γ₃	-12.7774	-1.93*

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Xanadu Quantum Technologies Ltd Spline ILLIQ Liquidity Analysis

Date Range:

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