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
mwindow	41
αARCH	0.5466	2.36**
βGARCH	0.4229	4.15***
γleverage	-0.5000	-1.62
λ₁tau intercept	10.0000	1.36
λ₂forecast adj.	0.3885	1.79*
λ₃tau persistence	0.6115	4.34***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.5466	2.36**
β GARCH Volatility persistence	0.4229	4.15***
γ leverage Additional response to negative shocks	-0.5000	-1.62
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.36
λ₂ forecast adj. Forecast performance sensitivity	0.3885	1.79*
λ₃ tau persistence Long-term factor persistence	0.6115	4.34***

V-Lab

BIN Ulasim VE Akilli Sehir T ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BIN Ulasim VE Akilli Sehir T Analyses