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
mwindow	21
αARCH	0.0943	6.62***
βGARCH	0.7326	20.78***
γleverage	0.2465	7.49***
λ₁tau intercept	9.0258	1.14
λ₂forecast adj.	0.1872	3.86***
λ₃tau persistence	0.8054	15.69***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0943	6.62***
β GARCH Volatility persistence	0.7326	20.78***
γ leverage Additional response to negative shocks	0.2465	7.49***
λ₁ tau intercept Baseline long-term coefficient	9.0258	1.14
λ₂ forecast adj. Forecast performance sensitivity	0.1872	3.86***
λ₃ tau persistence Long-term factor persistence	0.8054	15.69***

V-Lab

Shift4 Payments Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shift4 Payments Inc Analyses