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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	0.8642	2.59***
αARCH	0.1212	0.03
βGARCH	0.8788	0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8642	2.59***
α ARCH Response to squared shocks	0.1212	0.03
β GARCH Volatility persistence	0.8788	0.22

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Xspray Pharma Ab Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Xspray Pharma Ab Analyses