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	1.1410	8.33***
αARCH	0.0536	12.08***
βGARCH	0.9453	208.96***

γ₁	-0.0069	-1.58
γ₂	0.0157	1.92*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1410	8.33***
α ARCH Response to squared shocks	0.0536	12.08***
β GARCH Volatility persistence	0.9453	208.96***

γ₁	-0.0069	-1.58
γ₂	0.0157	1.92*

V-Lab

Simon Property Group Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Simon Property Group Inc Analyses