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	3.1418	3.27***
αARCH	0.0826	6.44***
βGARCH	0.8869	49.99***

γ₁	-0.2273	-2.05**
γ₂	0.4434	2.59***
γ₃	-0.3904	-3.79***
γ₄	0.2591	3.32***
γ₅	-0.0631	-1.04
γ₆	-0.0247	-0.55
γ₇	-0.0290	-0.74
γ₈	0.1315	3.55***
γ₉	-0.1885	-5.24***
γ₁₀	0.0596	1.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.1418	3.27***
α ARCH Response to squared shocks	0.0826	6.44***
β GARCH Volatility persistence	0.8869	49.99***

γ₁	-0.2273	-2.05**
γ₂	0.4434	2.59***
γ₃	-0.3904	-3.79***
γ₄	0.2591	3.32***
γ₅	-0.0631	-1.04
γ₆	-0.0247	-0.55
γ₇	-0.0290	-0.74
γ₈	0.1315	3.55***
γ₉	-0.1885	-5.24***
γ₁₀	0.0596	1.10

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Eurocommercial Properties NV Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Eurocommercial Properties NV Analyses