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	2.2013	4.34***
αARCH	0.1028	10.42***
βGARCH	0.8715	67.25***

γ₁	-0.0965	-3.96***
γ₂	0.1179	3.40***
γ₃	0.0403	1.96**
γ₄	-0.1210	-7.93***
γ₅	0.1085	8.72***
γ₆	-0.0898	-4.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2013	4.34***
α ARCH Response to squared shocks	0.1028	10.42***
β GARCH Volatility persistence	0.8715	67.25***

γ₁	-0.0965	-3.96***
γ₂	0.1179	3.40***
γ₃	0.0403	1.96**
γ₄	-0.1210	-7.93***
γ₅	0.1085	8.72***
γ₆	-0.0898	-4.98***

V-Lab

Gecina SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Gecina SA Analyses