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
mwindow	61
αARCH	0.0715	10.21***
βGARCH	0.8554	54.23***
γleverage	-0.0715	-3.14***
λ₁tau intercept	0.2149	2.02**
λ₂forecast adj.	0.1066	2.85***
λ₃tau persistence	0.8881	22.88***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0715	10.21***
β GARCH Volatility persistence	0.8554	54.23***
γ leverage Additional response to negative shocks	-0.0715	-3.14***
λ₁ tau intercept Baseline long-term coefficient	0.2149	2.02**
λ₂ forecast adj. Forecast performance sensitivity	0.1066	2.85***
λ₃ tau persistence Long-term factor persistence	0.8881	22.88***

V-Lab

Simon Property Group Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Simon Property Group Inc Analyses