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	1.5317	5.93***
αARCH	0.2082	8.72***
βGARCH	0.7695	32.59***

γ₁	0.0950	3.64***
γ₂	-0.2209	-5.08***
γ₃	0.1538	4.02***
γ₄	0.0280	0.48

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5317	5.93***
α ARCH Response to squared shocks	0.2082	8.72***
β GARCH Volatility persistence	0.7695	32.59***

γ₁	0.0950	3.64***
γ₂	-0.2209	-5.08***
γ₃	0.1538	4.02***
γ₄	0.0280	0.48

V-Lab

Selcuk Ecza Deposu Ticaret Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Selcuk Ecza Deposu Ticaret Analyses