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	1.0855	1.40
αARCH	0.1770	0.08
βGARCH	0.8230	0.38

γ₁	-0.0539	-0.03
γ₂	0.0341	0.02

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0855	1.40
α ARCH Response to squared shocks	0.1770	0.08
β GARCH Volatility persistence	0.8230	0.38

γ₁	-0.0539	-0.03
γ₂	0.0341	0.02

V-Lab

ICU Girisim Sermayesi Yatiri Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ICU Girisim Sermayesi Yatiri Analyses