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	1.8006	10.52***
αARCH	0.0824	12.13***
βGARCH	0.8950	101.38***

γ₁	-0.0266	-8.80***
γ₂	0.0447	9.70***
γ₃	-0.0309	-7.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8006	10.52***
α ARCH Response to squared shocks	0.0824	12.13***
β GARCH Volatility persistence	0.8950	101.38***

γ₁	-0.0266	-8.80***
γ₂	0.0447	9.70***
γ₃	-0.0309	-7.93***

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Saul Centers Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Saul Centers Inc Analyses