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	70.0397	5.84***
αARCH	0.2308	10.80***
βGARCH	0.7641	37.41***

γ₁	0.3686	0.56
γ₂	-0.9666	-0.54
γ₃	3.6108	1.41
γ₄	-5.1631	-2.03**
γ₅	0.8496	0.41
γ₆	4.2145	1.41
γ₇	-4.6161	-1.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	70.0397	5.84***
α ARCH Response to squared shocks	0.2308	10.80***
β GARCH Volatility persistence	0.7641	37.41***

γ₁	0.3686	0.56
γ₂	-0.9666	-0.54
γ₃	3.6108	1.41
γ₄	-5.1631	-2.03**
γ₅	0.8496	0.41
γ₆	4.2145	1.41
γ₇	-4.6161	-1.58

V-Lab

Big Medya Teknoloji AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Big Medya Teknoloji AS Analyses