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	1.4858	4.98***
αARCH	0.0782	13.85***
βGARCH	0.9172	165.23***

γ₁	-0.1220	-4.32***
γ₂	0.2116	4.18***
γ₃	-0.1258	-3.54***
γ₄	0.0532	2.33**
γ₅	-0.0688	-2.64***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4858	4.98***
α ARCH Response to squared shocks	0.0782	13.85***
β GARCH Volatility persistence	0.9172	165.23***

γ₁	-0.1220	-4.32***
γ₂	0.2116	4.18***
γ₃	-0.1258	-3.54***
γ₄	0.0532	2.33**
γ₅	-0.0688	-2.64***

V-Lab

AES Corp/VA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AES Corp/VA Analyses