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	1.1314	7.27***
αARCH	0.2372	10.49***
βGARCH	0.6488	31.01***

γ₁	0.2256	4.26***
γ₂	-0.5030	-6.46***
γ₃	0.5683	11.91***
γ₄	-0.6660	-10.51***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1314	7.27***
α ARCH Response to squared shocks	0.2372	10.49***
β GARCH Volatility persistence	0.6488	31.01***

γ₁	0.2256	4.26***
γ₂	-0.5030	-6.46***
γ₃	0.5683	11.91***
γ₄	-0.6660	-10.51***

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