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	1.0063	2.69***
αARCH	0.2233	11.43***
βGARCH	0.7726	47.47***

γ₁	-0.4697	-3.18***
γ₂	0.7541	3.90***
γ₃	-0.3608	-5.38***
γ₄	0.1380	2.69***
γ₅	-0.2184	-3.53***
γ₆	0.4701	4.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0063	2.69***
α ARCH Response to squared shocks	0.2233	11.43***
β GARCH Volatility persistence	0.7726	47.47***

γ₁	-0.4697	-3.18***
γ₂	0.7541	3.90***
γ₃	-0.3608	-5.38***
γ₄	0.1380	2.69***
γ₅	-0.2184	-3.53***
γ₆	0.4701	4.92***

V-Lab

Usak Seramik Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Usak Seramik Analyses