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	1.3885	2.52**
αARCH	0.1847	2.27**
βGARCH	0.0000	0.00

γ₁	-68.5578	-0.95
γ₂	218.8628	1.89*
γ₃	-300.6716	-2.52**
γ₄	532.3809	2.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3885	2.52**
α ARCH Response to squared shocks	0.1847	2.27**
β GARCH Volatility persistence	0.0000	0.00

γ₁	-68.5578	-0.95
γ₂	218.8628	1.89*
γ₃	-300.6716	-2.52**
γ₄	532.3809	2.93***

V-Lab

Savur Gayrimenkul Yatirim Ortakligi AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Savur Gayrimenkul Yatirim Ortakligi AS Analyses