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	0.1792	1.53
αARCH	0.0386	6.17***
βGARCH	0.9536	254.09***
γleverage	0.0144	1.41

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1792	1.53
α ARCH Response to squared shocks	0.0386	6.17***
β GARCH Volatility persistence	0.9536	254.09***
γ leverage Additional response to negative shocks	0.0144	1.41

V-Lab

Vivmark Residential Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vivmark Residential Analyses