How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.3891	1.84*
αARCH	0.1664	4.94***
βGARCH	0.8322	24.56***

γ₁	-1.6027	-0.17
γ₂	9.1565	0.74
γ₃	-20.4106	-2.44**
γ₄	20.8173	3.41***
γ₅	-8.4913	-2.17**
γ₆	-4.9715	-0.97
γ₇	21.7543	2.10**
γ₈	-31.8138	-2.24**
γ₉	21.3855	1.77*
γ₁₀	-6.9715	-0.80

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3891	1.84*
α ARCH Response to squared shocks	0.1664	4.94***
β GARCH Volatility persistence	0.8322	24.56***

γ₁	-1.6027	-0.17
γ₂	9.1565	0.74
γ₃	-20.4106	-2.44**
γ₄	20.8173	3.41***
γ₅	-8.4913	-2.17**
γ₆	-4.9715	-0.97
γ₇	21.7543	2.10**
γ₈	-31.8138	-2.24**
γ₉	21.3855	1.77*
γ₁₀	-6.9715	-0.80

V-Lab

Epiroc Ab Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Epiroc Ab Analyses