How volatility evolves over time

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How returns affect tomorrow's illiquidity

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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	8.3619	3.05***
αARCH	0.2246	14.06***
βGARCH	0.7607	50.47***

γ₁	0.0006	0.00
γ₂	-0.6631	-1.04
γ₃	1.7106	2.53**
γ₄	-1.3925	-2.58***
γ₅	0.4643	1.99**
γ₆	-0.3402	-2.65***
γ₇	0.3878	3.40***
γ₈	-0.3471	-3.66***
γ₉	0.2031	1.74*
γ₁₀	0.3260	0.98

Parameter	Value	t-statistic
ω const Unconditional variance weight	8.3619	3.05***
α ARCH Response to squared shocks	0.2246	14.06***
β GARCH Volatility persistence	0.7607	50.47***

γ₁	0.0006	0.00
γ₂	-0.6631	-1.04
γ₃	1.7106	2.53**
γ₄	-1.3925	-2.58***
γ₅	0.4643	1.99**
γ₆	-0.3402	-2.65***
γ₇	0.3878	3.40***
γ₈	-0.3471	-3.66***
γ₉	0.2031	1.74*
γ₁₀	0.3260	0.98

V-Lab

Ditas Bdy Yedek Parca Imalat ve Teknik AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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