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	1.1329	8.81***
αARCH	0.0806	13.51***
βGARCH	0.9126	155.39***

γ₁	-0.0168	-2.35**
γ₂	0.0387	3.28***
γ₃	-0.0273	-2.28**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1329	8.81***
α ARCH Response to squared shocks	0.0806	13.51***
β GARCH Volatility persistence	0.9126	155.39***

γ₁	-0.0168	-2.35**
γ₂	0.0387	3.28***
γ₃	-0.0273	-2.28**

V-Lab

SBA Communications Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SBA Communications Corp Analyses