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	3.1832	5.83***
αARCH	0.1024	10.91***
βGARCH	0.8805	77.00***

γ₁	-0.0469	-4.82***
γ₂	0.0983	6.71***
γ₃	-0.0770	-8.40***
γ₄	0.0549	5.39***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.1832	5.83***
α ARCH Response to squared shocks	0.1024	10.91***
β GARCH Volatility persistence	0.8805	77.00***

γ₁	-0.0469	-4.82***
γ₂	0.0983	6.71***
γ₃	-0.0770	-8.40***
γ₄	0.0549	5.39***

V-Lab

Gecina SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Gecina SA Analyses