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	0.0801	10.01***
βGARCH	0.8333	45.86***
γleverage	-0.0801	-3.54***
λ₁tau intercept	0.2561	2.78***
λ₂forecast adj.	0.0317	5.91***
λ₃tau persistence	0.9664	177.16***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0801	10.01***
β GARCH Volatility persistence	0.8333	45.86***
γ leverage Additional response to negative shocks	-0.0801	-3.54***
λ₁ tau intercept Baseline long-term coefficient	0.2561	2.78***
λ₂ forecast adj. Forecast performance sensitivity	0.0317	5.91***
λ₃ tau persistence Long-term factor persistence	0.9664	177.16***

V-Lab

BXP Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BXP Inc Analyses