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	0.8969	1.23
αARCH	0.0918	0.08
βGARCH	0.9082	0.76

γ₁	0.0162	0.00
γ₂	-0.0423	-0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8969	1.23
α ARCH Response to squared shocks	0.0918	0.08
β GARCH Volatility persistence	0.9082	0.76

γ₁	0.0162	0.00
γ₂	-0.0423	-0.01

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Turkiye Is Bankasi As Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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