How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	0.3745	0.40
αARCH	0.2006	0.11
βGARCH	0.7994	0.45

γ₁	-1.7294	-0.14
γ₂	5.8255	0.36
γ₃	-8.8888	-0.09
γ₄	7.6336	0.07
γ₅	-6.9145	-0.07
γ₆	13.7651	0.08
γ₇	-18.6971	-0.10
γ₈	12.1383	0.18
γ₉	-3.3541	-1.06

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3745	0.40
α ARCH Response to squared shocks	0.2006	0.11
β GARCH Volatility persistence	0.7994	0.45

γ₁	-1.7294	-0.14
γ₂	5.8255	0.36
γ₃	-8.8888	-0.09
γ₄	7.6336	0.07
γ₅	-6.9145	-0.07
γ₆	13.7651	0.08
γ₇	-18.6971	-0.10
γ₈	12.1383	0.18
γ₉	-3.3541	-1.06

V-Lab

Luks Kadife Ticaret Ssanayii Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Luks Kadife Ticaret Ssanayii Analyses