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	1.1908	4.30***
αARCH	0.2830	5.27***
βGARCH	0.6402	8.92***

γ₁	3.9434	2.06**
γ₂	-15.7434	-3.70***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1908	4.30***
α ARCH Response to squared shocks	0.2830	5.27***
β GARCH Volatility persistence	0.6402	8.92***

γ₁	3.9434	2.06**
γ₂	-15.7434	-3.70***

V-Lab

Energys Group Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Energys Group Ltd Analyses