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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	0.8265	5.79***
αARCH	0.1218	0.02
βGARCH	0.8782	0.17

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8265	5.79***
α ARCH Response to squared shocks	0.1218	0.02
β GARCH Volatility persistence	0.8782	0.17

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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