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	11.2895	1.54
αARCH	0.2990	3.30***
βGARCH	0.6977	7.96***

γ₁	1.2116	1.77*
γ₂	-6.7870	-4.75***
γ₃	16.0828	7.56***
γ₄	-21.8181	-6.65***
γ₅	24.5264	4.86***

Parameter	Value	t-statistic
ω const Unconditional variance weight	11.2895	1.54
α ARCH Response to squared shocks	0.2990	3.30***
β GARCH Volatility persistence	0.6977	7.96***

γ₁	1.2116	1.77*
γ₂	-6.7870	-4.75***
γ₃	16.0828	7.56***
γ₄	-21.8181	-6.65***
γ₅	24.5264	4.86***

V-Lab

R I L Property PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other R I L Property PLC Analyses