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	0.9820	2.53**
αARCH	0.0881	10.02***
βGARCH	0.9048	109.29***

γ₁	-0.0043	-0.33
γ₂	0.0085	0.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9820	2.53**
α ARCH Response to squared shocks	0.0881	10.02***
β GARCH Volatility persistence	0.9048	109.29***

γ₁	-0.0043	-0.33
γ₂	0.0085	0.44

V-Lab

Brookfield Infrastructure Partners LP Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Brookfield Infrastructure Partners LP Analyses