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	2.1809	5.37***
αARCH	0.0962	7.18***
βGARCH	0.8997	61.80***

γ₁	-0.0369	-0.93
γ₂	0.0545	0.87
γ₃	-0.0675	-0.99
γ₄	0.2056	1.56
γ₅	-0.7007	-1.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1809	5.37***
α ARCH Response to squared shocks	0.0962	7.18***
β GARCH Volatility persistence	0.8997	61.80***

γ₁	-0.0369	-0.93
γ₂	0.0545	0.87
γ₃	-0.0675	-0.99
γ₄	0.2056	1.56
γ₅	-0.7007	-1.35

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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