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
mwindow	21
αARCH	0.3061	6.11***
βGARCH	0.4855	10.01***
γleverage	-0.3061	-3.92***
λ₁tau intercept	7.4374	1.92*
λ₂forecast adj.	0.5896	4.55***
λ₃tau persistence	0.4105	3.15***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.3061	6.11***
β GARCH Volatility persistence	0.4855	10.01***
γ leverage Additional response to negative shocks	-0.3061	-3.92***
λ₁ tau intercept Baseline long-term coefficient	7.4374	1.92*
λ₂ forecast adj. Forecast performance sensitivity	0.5896	4.55***
λ₃ tau persistence Long-term factor persistence	0.4105	3.15***

V-Lab

Izmir Firca Sanayi Ticaret ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Izmir Firca Sanayi Ticaret Analyses