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	1.2395	1.03
αARCH	0.0294	2.00**
βGARCH	0.9315	103.97***
γleverage	0.0686	2.27**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2395	1.03
α ARCH Response to squared shocks	0.0294	2.00**
β GARCH Volatility persistence	0.9315	103.97***
γ leverage Additional response to negative shocks	0.0686	2.27**

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Shift4 Payments Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shift4 Payments Inc Analyses