How volatility evolves over time

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{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	3.0990	3.26***
αARCH	0.0827	6.42***
βGARCH	0.8864	49.77***

γ₁	-0.2321	-2.09**
γ₂	0.4504	2.63***
γ₃	-0.3930	-3.83***
γ₄	0.2584	3.31***
γ₅	-0.0612	-1.01
γ₆	-0.0245	-0.54
γ₇	-0.0320	-0.82
γ₈	0.1348	3.67***
γ₉	-0.1879	-5.23***
γ₁₀	0.0557	1.02

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0990	3.26***
α ARCH Response to squared shocks	0.0827	6.42***
β GARCH Volatility persistence	0.8864	49.77***

γ₁	-0.2321	-2.09**
γ₂	0.4504	2.63***
γ₃	-0.3930	-3.83***
γ₄	0.2584	3.31***
γ₅	-0.0612	-1.01
γ₆	-0.0245	-0.54
γ₇	-0.0320	-0.82
γ₈	0.1348	3.67***
γ₉	-0.1879	-5.23***
γ₁₀	0.0557	1.02

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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