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	66
αARCH	0.4276	1.69*
βGARCH	0.5020	3.78***
γleverage	-0.4276	-1.41
λ₁tau intercept	3.0499	0.24
λ₂forecast adj.	0.9884	7.37***
λ₃tau persistence	0.0116	2.37**

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.4276	1.69*
β GARCH Volatility persistence	0.5020	3.78***
γ leverage Additional response to negative shocks	-0.4276	-1.41
λ₁ tau intercept Baseline long-term coefficient	3.0499	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.9884	7.37***
λ₃ tau persistence Long-term factor persistence	0.0116	2.37**

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Ral Yatirim Holding As ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ral Yatirim Holding As Analyses