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
αARCH	0.1304	8.91***
βGARCH	0.8303	99.46***
γleverage	0.0086	0.76
λ₁tau intercept	413.8673

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1304	8.91***
β GARCH Volatility persistence	0.8303	99.46***
γ leverage Additional response to negative shocks	0.0086	0.76
λ₁ tau intercept Baseline long-term coefficient	413.8673

V-Lab

Vera Konsept Gayrimenkul ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vera Konsept Gayrimenkul Analyses