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	1.9938	5.56***
αARCH	0.0882	7.47***
βGARCH	0.9098	70.82***

γ₁	-0.0496	-1.60
γ₂	-0.0059	-0.07
γ₃	0.2535	1.05
γ₄	-0.5357	-1.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9938	5.56***
α ARCH Response to squared shocks	0.0882	7.47***
β GARCH Volatility persistence	0.9098	70.82***

γ₁	-0.0496	-1.60
γ₂	-0.0059	-0.07
γ₃	0.2535	1.05
γ₄	-0.5357	-1.10

V-Lab

First Capital Real Estate Investment Trust Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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