How volatility evolves over time

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How returns affect tomorrow's illiquidity

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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	0.9609	2.40**
αARCH	0.3159	1.70*
βGARCH	0.0000	0.00

γ₁	-90.4216	-2.97***
γ₂	156.9914	3.47***
γ₃	-130.3879	-3.71***
γ₄	126.2480	3.82***
γ₅	-77.4915	-2.51**
γ₆	-9.9659	-0.27

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9609	2.40**
α ARCH Response to squared shocks	0.3159	1.70*
β GARCH Volatility persistence	0.0000	0.00

γ₁	-90.4216	-2.97***
γ₂	156.9914	3.47***
γ₃	-130.3879	-3.71***
γ₄	126.2480	3.82***
γ₅	-77.4915	-2.51**
γ₆	-9.9659	-0.27

V-Lab

Itau Tempus Fundo De Investimento Imobiliario Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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