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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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1280	10.28***
β GARCH Volatility persistence	0.8059	47.51***
γ leverage Additional response to negative shocks	0.1106	10.93***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.70
λ₂ forecast adj. Forecast performance sensitivity	1.0000	41.84***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

S Hotels And Resorts Public ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other S Hotels And Resorts Public Analyses