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	1.1608	3.20***
αARCH	0.0787	2.05**
βGARCH	0.9213	24.08***

γ₁	-0.0720	-0.67
γ₂	0.0845	0.73
γ₃	-0.0133	-0.34
γ₄	-0.0327	-0.82

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1608	3.20***
α ARCH Response to squared shocks	0.0787	2.05**
β GARCH Volatility persistence	0.9213	24.08***

γ₁	-0.0720	-0.67
γ₂	0.0845	0.73
γ₃	-0.0133	-0.34
γ₄	-0.0327	-0.82

V-Lab

AES Corp/VA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AES Corp/VA Analyses