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	0.7311	7.24***
αARCH	0.1246	6.36***
βGARCH	0.7700	21.11***

γ₁	-0.2920	-3.97***
γ₂	0.2647	2.20**
γ₃	0.1787	1.77*
γ₄	-0.3759	-4.52***
γ₅	0.4429	5.20***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7311	7.24***
α ARCH Response to squared shocks	0.1246	6.36***
β GARCH Volatility persistence	0.7700	21.11***

γ₁	-0.2920	-3.97***
γ₂	0.2647	2.20**
γ₃	0.1787	1.77*
γ₄	-0.3759	-4.52***
γ₅	0.4429	5.20***

V-Lab

IGB Reit Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other IGB Reit Analyses