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	2.5585	3.91***
αARCH	0.1611	10.24***
βGARCH	0.7833	37.87***

γ₁	-0.5441	-3.50***
γ₂	0.8043	3.69***
γ₃	-0.2392	-2.13**
γ₄	0.0445	0.37
γ₅	-0.0909	-0.78
γ₆	0.0282	0.34
γ₇	0.0478	0.39
γ₈	-0.1605	-0.90
γ₉	0.3764	1.50

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5585	3.91***
α ARCH Response to squared shocks	0.1611	10.24***
β GARCH Volatility persistence	0.7833	37.87***

γ₁	-0.5441	-3.50***
γ₂	0.8043	3.69***
γ₃	-0.2392	-2.13**
γ₄	0.0445	0.37
γ₅	-0.0909	-0.78
γ₆	0.0282	0.34
γ₇	0.0478	0.39
γ₈	-0.1605	-0.90
γ₉	0.3764	1.50

V-Lab

Covivio Hotels SACA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Covivio Hotels SACA Analyses