How volatility evolves over time

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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	2.2276	8.19***
αARCH	0.2064	6.36***
βGARCH	0.7015	15.34***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2276	8.19***
α ARCH Response to squared shocks	0.2064	6.36***
β GARCH Volatility persistence	0.7015	15.34***

V-Lab

All E Technologies Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other All E Technologies Limited Analyses