How volatility evolves over time

How illiquidity evolves over time

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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	0.8320	4.10***
αARCH	0.3144	1.67*
βGARCH	0.6855	3.64***

γ₁	-1.9836	-2.69***
γ₂	2.5569	2.52**
γ₃	-1.7571	-1.92*
γ₄	-6.2623	-0.43
γ₅	24.7436	0.57
γ₆	-30.1373	-0.61
γ₇	19.0231	0.67
γ₈	-9.5708	-0.79
γ₉	5.1096	1.15

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8320	4.10***
α ARCH Response to squared shocks	0.3144	1.67*
β GARCH Volatility persistence	0.6855	3.64***

γ₁	-1.9836	-2.69***
γ₂	2.5569	2.52**
γ₃	-1.7571	-1.92*
γ₄	-6.2623	-0.43
γ₅	24.7436	0.57
γ₆	-30.1373	-0.61
γ₇	19.0231	0.67
γ₈	-9.5708	-0.79
γ₉	5.1096	1.15

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Info Yatirim As Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Info Yatirim As Analyses