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	1.2354	7.00***
αARCH	0.1224	12.77***
βGARCH	0.8409	64.80***

γ₁	-0.1396	-6.32***
γ₂	0.2056	5.83***
γ₃	-0.0948	-3.34***
γ₄	0.0155	0.57
γ₅	0.0786	2.90***
γ₆	-0.1825	-4.32***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2354	7.00***
α ARCH Response to squared shocks	0.1224	12.77***
β GARCH Volatility persistence	0.8409	64.80***

γ₁	-0.1396	-6.32***
γ₂	0.2056	5.83***
γ₃	-0.0948	-3.34***
γ₄	0.0155	0.57
γ₅	0.0786	2.90***
γ₆	-0.1825	-4.32***

V-Lab

Wereldhave Belgium NV Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wereldhave Belgium NV Analyses