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	2.1254	5.28***
αARCH	0.8006	7.60***
βGARCH	0.1971	1.85*

γ₁	-139.1720	-0.52
γ₂	424.3617	0.92
γ₃	-573.1050	-1.43
γ₄	760.5505	1.97**
γ₅	-1,242.8442	-2.29**

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1254	5.28***
α ARCH Response to squared shocks	0.8006	7.60***
β GARCH Volatility persistence	0.1971	1.85*

γ₁	-139.1720	-0.52
γ₂	424.3617	0.92
γ₃	-573.1050	-1.43
γ₄	760.5505	1.97**
γ₅	-1,242.8442	-2.29**

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