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	0.8415	5.19***
αARCH	0.2280	2.51**
βGARCH	0.6439	5.03***

γ₁	-2.7983	-1.99**
γ₂	6.8781	1.78*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8415	5.19***
α ARCH Response to squared shocks	0.2280	2.51**
β GARCH Volatility persistence	0.6439	5.03***

γ₁	-2.7983	-1.99**
γ₂	6.8781	1.78*

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BIN Ulasim VE Akilli Sehir T Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BIN Ulasim VE Akilli Sehir T Analyses