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	1.1657	3.18***
αARCH	0.0786	0.30
βGARCH	0.9214	3.52***

γ₁	-0.0425	-0.11
γ₂	0.0528	0.15
γ₃	-0.0336	-0.28

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1657	3.18***
α ARCH Response to squared shocks	0.0786	0.30
β GARCH Volatility persistence	0.9214	3.52***

γ₁	-0.0425	-0.11
γ₂	0.0528	0.15
γ₃	-0.0336	-0.28

V-Lab

AES Corp/VA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AES Corp/VA Analyses