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	1.7452	3.09***
αARCH	0.7114	2.56**
βGARCH	0.0000	0.00

γ₁	-19.5485	-0.57
γ₂	17.1473	0.30
γ₃	37.3499	0.69
γ₄	-89.7144	-1.28
γ₅	98.8353	1.57
γ₆	-65.4358	-1.42
γ₇	84.8581	1.37

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7452	3.09***
α ARCH Response to squared shocks	0.7114	2.56**
β GARCH Volatility persistence	0.0000	0.00

γ₁	-19.5485	-0.57
γ₂	17.1473	0.30
γ₃	37.3499	0.69
γ₄	-89.7144	-1.28
γ₅	98.8353	1.57
γ₆	-65.4358	-1.42
γ₇	84.8581	1.37

V-Lab

Destek Finans Faktoring A S Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Destek Finans Faktoring A S Analyses