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	1.1928	8.85***
αARCH	0.0535	11.58***
βGARCH	0.9432	185.38***

γ₁	-0.0322	-4.79***
γ₂	0.0557	4.82***
γ₃	-0.0346	-3.20***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1928	8.85***
α ARCH Response to squared shocks	0.0535	11.58***
β GARCH Volatility persistence	0.9432	185.38***

γ₁	-0.0322	-4.79***
γ₂	0.0557	4.82***
γ₃	-0.0346	-3.20***

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