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	1.0574	2.21**
αARCH	0.2648	2.09**
βGARCH	0.5198	2.54**

γ₁	-39.1352	-3.78***
γ₂	53.7410	3.73***
γ₃	-13.0678	-0.98
γ₄	-0.9429	-0.05

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0574	2.21**
α ARCH Response to squared shocks	0.2648	2.09**
β GARCH Volatility persistence	0.5198	2.54**

γ₁	-39.1352	-3.78***
γ₂	53.7410	3.73***
γ₃	-13.0678	-0.98
γ₄	-0.9429	-0.05

V-Lab

Xanadu Quantum Technologies Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Xanadu Quantum Technologies Ltd Analyses