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	1.2841	6.24***
αARCH	0.0518	8.16***
βGARCH	0.9448	119.47***

γ₁	-0.0212	-2.18**
γ₂	0.0347	2.24**
γ₃	-0.0184	-1.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2841	6.24***
α ARCH Response to squared shocks	0.0518	8.16***
β GARCH Volatility persistence	0.9448	119.47***

γ₁	-0.0212	-2.18**
γ₂	0.0347	2.24**
γ₃	-0.0184	-1.31

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Prologis Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Prologis Inc Analyses