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
αARCH	0.5187	2.49**
βGARCH	0.0000	0.00
γleverage	-0.5000	-1.37
λ₁tau intercept	531,727.0337

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.5187	2.49**
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.5000	-1.37
λ₁ tau intercept Baseline long-term coefficient	531,727.0337

V-Lab

Itau Tempus Fundo De Investimento Imobiliario ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Itau Tempus Fundo De Investimento Imobiliario Analyses