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	1.4984	1.33
αARCH	0.0663	0.17
βGARCH	0.9337	2.42**

γ₁	-0.0383	-0.11
γ₂	0.0723	0.12

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4984	1.33
α ARCH Response to squared shocks	0.0663	0.17
β GARCH Volatility persistence	0.9337	2.42**

γ₁	-0.0383	-0.11
γ₂	0.0723	0.12

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Wereldhave NV Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wereldhave NV Analyses