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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4092	3.09***
α ARCH Response to squared shocks	0.1175	3.99***
β GARCH Volatility persistence	0.8425	19.14***

γ₁	0.0069	0.05
γ₂	-0.1586	-0.69
γ₃	0.3312	0.97
γ₄	-0.6282	-2.17**
γ₅	1.5640	7.61***
γ₆	-2.3811	-8.04***
γ₇	1.5282	3.72***
γ₈	-0.0902	-0.16

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Grimoldi SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Grimoldi SA Analyses