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	0.9981	4.99***
αARCH	0.0922	6.56***
βGARCH	0.8682	43.36***

γ₁	-0.2276	-4.93***
γ₂	0.3693	5.64***
γ₃	-0.2550	-6.24***
γ₄	0.2053	5.58***
γ₅	-0.1858	-3.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9981	4.99***
α ARCH Response to squared shocks	0.0922	6.56***
β GARCH Volatility persistence	0.8682	43.36***

γ₁	-0.2276	-4.93***
γ₂	0.3693	5.64***
γ₃	-0.2550	-6.24***
γ₄	0.2053	5.58***
γ₅	-0.1858	-3.92***

V-Lab

ESR-REIT Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ESR-REIT Analyses