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	1.2392	6.91***
αARCH	0.1199	12.80***
βGARCH	0.8452	66.85***

γ₁	-0.1389	-6.24***
γ₂	0.2051	5.79***
γ₃	-0.0962	-3.38***
γ₄	0.0191	0.70
γ₅	0.0723	2.64***
γ₆	-0.1702	-3.86***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2392	6.91***
α ARCH Response to squared shocks	0.1199	12.80***
β GARCH Volatility persistence	0.8452	66.85***

γ₁	-0.1389	-6.24***
γ₂	0.2051	5.79***
γ₃	-0.0962	-3.38***
γ₄	0.0191	0.70
γ₅	0.0723	2.64***
γ₆	-0.1702	-3.86***

V-Lab

Wereldhave Belgium NV Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wereldhave Belgium NV Analyses