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	2.5316	3.88***
αARCH	0.1616	10.17***
βGARCH	0.7825	37.59***

γ₁	-0.5539	-3.54***
γ₂	0.8168	3.73***
γ₃	-0.2425	-2.15**
γ₄	0.0456	0.38
γ₅	-0.0890	-0.78
γ₆	0.0243	0.29
γ₇	0.0455	0.36
γ₈	-0.1387	-0.77
γ₉	0.2707	1.17

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5316	3.88***
α ARCH Response to squared shocks	0.1616	10.17***
β GARCH Volatility persistence	0.7825	37.59***

γ₁	-0.5539	-3.54***
γ₂	0.8168	3.73***
γ₃	-0.2425	-2.15**
γ₄	0.0456	0.38
γ₅	-0.0890	-0.78
γ₆	0.0243	0.29
γ₇	0.0455	0.36
γ₈	-0.1387	-0.77
γ₉	0.2707	1.17

V-Lab

Covivio Hotels SACA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Covivio Hotels SACA Analyses