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	1.3662	4.54***
αARCH	0.0798	13.35***
βGARCH	0.9090	138.30***

γ₁	-0.2362	-7.41***
γ₂	0.3639	7.08***
γ₃	-0.1765	-4.40***
γ₄	0.0869	2.57**
γ₅	-0.0667	-2.56**
γ₆	0.0600	2.43**
γ₇	-0.1277	-3.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3662	4.54***
α ARCH Response to squared shocks	0.0798	13.35***
β GARCH Volatility persistence	0.9090	138.30***

γ₁	-0.2362	-7.41***
γ₂	0.3639	7.08***
γ₃	-0.1765	-4.40***
γ₄	0.0869	2.57**
γ₅	-0.0667	-2.56**
γ₆	0.0600	2.43**
γ₇	-0.1277	-3.63***

V-Lab

AES Corp/VA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AES Corp/VA Analyses