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	5.0000	0.29
αARCH	0.0895	3.59***
βGARCH	0.8503	81.90***
γleverage	0.1205	2.72***

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.29
α ARCH Response to squared shocks	0.0895	3.59***
β GARCH Volatility persistence	0.8503	81.90***
γ leverage Additional response to negative shocks	0.1205	2.72***

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Mepet Metro Petrol ve Tesisleri Sanayi Ticaret AS Asymmetric ILLIQ Liquidity Analysis

Date Range:

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