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	1.3205	3.94***
αARCH	0.0755	3.90***
βGARCH	0.8655	27.59***

γ₁	-0.2719	-2.12**
γ₂	0.7118	3.94***
γ₃	-0.8263	-4.65***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3205	3.94***
α ARCH Response to squared shocks	0.0755	3.90***
β GARCH Volatility persistence	0.8655	27.59***

γ₁	-0.2719	-2.12**
γ₂	0.7118	3.94***
γ₃	-0.8263	-4.65***

V-Lab

Caixa Rio Bravo Fundo de Fundos de Investimento Imobiliario Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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