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	1.8243	4.64***
αARCH	0.2687	7.85***
βGARCH	0.7165	23.15***

γ₁	-0.4835	-3.97***
γ₂	0.7357	4.07***
γ₃	-0.5618	-4.61***
γ₄	0.7629	5.15***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8243	4.64***
α ARCH Response to squared shocks	0.2687	7.85***
β GARCH Volatility persistence	0.7165	23.15***

γ₁	-0.4835	-3.97***
γ₂	0.7357	4.07***
γ₃	-0.5618	-4.61***
γ₄	0.7629	5.15***

V-Lab

Izmir Firca Sanayi Ticaret Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Izmir Firca Sanayi Ticaret Analyses