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	1.1311	2.44**
αARCH	0.2204	0.18
βGARCH	0.7796	0.65

γ₁	-7.3564	-0.11
γ₂	14.1679	0.12
γ₃	-9.2371	-0.14
γ₄	1.5295	0.08
γ₅	1.9310	1.13
γ₆	-1.5310	-0.83
γ₇	1.3046	0.61
γ₈	-2.1735	-1.65*
γ₉	2.4907	2.05**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1311	2.44**
α ARCH Response to squared shocks	0.2204	0.18
β GARCH Volatility persistence	0.7796	0.65

γ₁	-7.3564	-0.11
γ₂	14.1679	0.12
γ₃	-9.2371	-0.14
γ₄	1.5295	0.08
γ₅	1.9310	1.13
γ₆	-1.5310	-0.83
γ₇	1.3046	0.61
γ₈	-2.1735	-1.65*
γ₉	2.4907	2.05**

V-Lab

SPT Energy Group Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SPT Energy Group Inc Analyses