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	1.2894	6.95***
αARCH	0.1962	2.50**
βGARCH	0.3305	1.87*

γ₁	2.0806	1.48
γ₂	-5.2625	-1.90*
γ₃	9.5497	1.77*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2894	6.95***
α ARCH Response to squared shocks	0.1962	2.50**
β GARCH Volatility persistence	0.3305	1.87*

γ₁	2.0806	1.48
γ₂	-5.2625	-1.90*
γ₃	9.5497	1.77*

V-Lab

CEM Zeytin Anonim Sirketi Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CEM Zeytin Anonim Sirketi Analyses