How volatility evolves over time

How illiquidity evolves over time

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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	0.7309	7.32***
αARCH	0.1270	6.43***
βGARCH	0.7644	20.67***

γ₁	-0.2931	-4.12***
γ₂	0.2708	2.33**
γ₃	0.1705	1.73*
γ₄	-0.3799	-4.65***
γ₅	0.4985	5.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7309	7.32***
α ARCH Response to squared shocks	0.1270	6.43***
β GARCH Volatility persistence	0.7644	20.67***

γ₁	-0.2931	-4.12***
γ₂	0.2708	2.33**
γ₃	0.1705	1.73*
γ₄	-0.3799	-4.65***
γ₅	0.4985	5.93***

V-Lab

IGB Reit Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other IGB Reit Analyses