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	1.0081	5.05***
αARCH	0.0922	6.56***
βGARCH	0.8680	43.30***

γ₁	-0.2223	-4.91***
γ₂	0.3611	5.61***
γ₃	-0.2504	-6.21***
γ₄	0.2028	5.54***
γ₅	-0.1826	-3.88***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0081	5.05***
α ARCH Response to squared shocks	0.0922	6.56***
β GARCH Volatility persistence	0.8680	43.30***

γ₁	-0.2223	-4.91***
γ₂	0.3611	5.61***
γ₃	-0.2504	-6.21***
γ₄	0.2028	5.54***
γ₅	-0.1826	-3.88***

V-Lab

ESR-REIT Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ESR-REIT Analyses