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	1.1489	6.11***
αARCH	0.2157	11.37***
βGARCH	0.7630	43.18***

γ₁	-0.0003	-0.01
γ₂	-0.1208	-1.81*
γ₃	0.1895	3.79***
γ₄	-0.1599	-3.27***
γ₅	0.3631	4.84***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1489	6.11***
α ARCH Response to squared shocks	0.2157	11.37***
β GARCH Volatility persistence	0.7630	43.18***

γ₁	-0.0003	-0.01
γ₂	-0.1208	-1.81*
γ₃	0.1895	3.79***
γ₄	-0.1599	-3.27***
γ₅	0.3631	4.84***

V-Lab

Vestel Beyaz Esya Sanayi Ve Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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