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	0.1376	14.46***
βGARCH	0.7917	51.35***
γleverage	-0.0953	-6.78***
λ₁tau intercept	4.2521	1.86*
λ₂forecast adj.	0.3052	6.88***
λ₃tau persistence	0.6948	15.88***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1376	14.46***
β GARCH Volatility persistence	0.7917	51.35***
γ leverage Additional response to negative shocks	-0.0953	-6.78***
λ₁ tau intercept Baseline long-term coefficient	4.2521	1.86*
λ₂ forecast adj. Forecast performance sensitivity	0.3052	6.88***
λ₃ tau persistence Long-term factor persistence	0.6948	15.88***

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Juventus Football Club S.p.A. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Juventus Football Club S.p.A. Analyses