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	0.8766	5.85***
αARCH	0.2227	8.37***
βGARCH	0.5799	21.09***

γ₁	-0.0850	-0.58
γ₂	0.3243	1.63
γ₃	-0.8475	-8.66***
γ₄	1.2676	16.98***
γ₅	-1.0446	-13.78***
γ₆	0.4895	3.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8766	5.85***
α ARCH Response to squared shocks	0.2227	8.37***
β GARCH Volatility persistence	0.5799	21.09***

γ₁	-0.0850	-0.58
γ₂	0.3243	1.63
γ₃	-0.8475	-8.66***
γ₄	1.2676	16.98***
γ₅	-1.0446	-13.78***
γ₆	0.4895	3.58***

V-Lab

CECEP Wind-Power Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CECEP Wind-Power Corp Analyses