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	5.8370	2.81***
αARCH	0.1304	11.75***
βGARCH	0.8675	76.87***

γ₁	-0.4405	-5.56***
γ₂	1.0235	5.33***
γ₃	-0.9047	-5.38***
γ₄	0.4063	6.26***

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.8370	2.81***
α ARCH Response to squared shocks	0.1304	11.75***
β GARCH Volatility persistence	0.8675	76.87***

γ₁	-0.4405	-5.56***
γ₂	1.0235	5.33***
γ₃	-0.9047	-5.38***
γ₄	0.4063	6.26***

V-Lab

Turkiye Sise ve Cam Fabrikalari AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Turkiye Sise ve Cam Fabrikalari AS Analyses