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	1.4131	5.82***
αARCH	0.0457	11.33***
βGARCH	0.9510	213.81***

γ₁	-0.0130	-2.00**
γ₂	0.0262	2.44**
γ₃	-0.0192	-1.82*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4131	5.82***
α ARCH Response to squared shocks	0.0457	11.33***
β GARCH Volatility persistence	0.9510	213.81***

γ₁	-0.0130	-2.00**
γ₂	0.0262	2.44**
γ₃	-0.0192	-1.82*

V-Lab

Vivmark Residential Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vivmark Residential Analyses