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
mwindow	91
αARCH	0.0000	1.43
βGARCH	0.7450	5,173.54***
γleverage	0.5000	1,879.70***
λ₁tau intercept	9.9998	1.51
λ₂forecast adj.	0.0335	10.47***
λ₃tau persistence	0.9665	118.79***

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.0000	1.43
β GARCH Volatility persistence	0.7450	5,173.54***
γ leverage Additional response to negative shocks	0.5000	1,879.70***
λ₁ tau intercept Baseline long-term coefficient	9.9998	1.51
λ₂ forecast adj. Forecast performance sensitivity	0.0335	10.47***
λ₃ tau persistence Long-term factor persistence	0.9665	118.79***

V-Lab

ASTA Energy Solutions AG ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ASTA Energy Solutions AG Analyses