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	1.0964	6.44***
αARCH	0.2549	3.98***
βGARCH	0.3987	5.20***

γ₁	-0.9803	-3.80***
γ₂	1.9979	4.23***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0964	6.44***
α ARCH Response to squared shocks	0.2549	3.98***
β GARCH Volatility persistence	0.3987	5.20***

γ₁	-0.9803	-3.80***
γ₂	1.9979	4.23***

V-Lab

Gipta Ofis Kirtasiye VE PRO Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Gipta Ofis Kirtasiye VE PRO Analyses