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	4.1240	2.08**
αARCH	0.2879	8.00***
βGARCH	0.7061	19.09***

γ₁	-0.1482	-3.03***
γ₂	0.1855	2.27**
γ₃	-0.0542	-0.77

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.1240	2.08**
α ARCH Response to squared shocks	0.2879	8.00***
β GARCH Volatility persistence	0.7061	19.09***

γ₁	-0.1482	-3.03***
γ₂	0.1855	2.27**
γ₃	-0.0542	-0.77

V-Lab

Tera Finansal Yatirimlar Holding A.S. Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tera Finansal Yatirimlar Holding A.S. Analyses