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	1.6547	3.70***
αARCH	0.0919	2.95***
βGARCH	0.8346	13.18***

γ₁	-1.5303	-1.22
γ₂	3.3701	1.60
γ₃	-3.6315	-2.08**
γ₄	2.1391	1.38
γ₅	0.8581	0.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6547	3.70***
α ARCH Response to squared shocks	0.0919	2.95***
β GARCH Volatility persistence	0.8346	13.18***

γ₁	-1.5303	-1.22
γ₂	3.3701	1.60
γ₃	-3.6315	-2.08**
γ₄	2.1391	1.38
γ₅	0.8581	0.54

V-Lab

Tanmiya FOR Real Estate Inve Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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