How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	2.8708	3.14***
αARCH	0.1523	6.44***
βGARCH	0.8418	37.34***

γ₁	0.6774	1.72*
γ₂	-2.3542	-2.43**
γ₃	3.5281	2.77***
γ₄	-2.6505	-2.61***
γ₅	1.1307	2.82***
γ₆	-0.5127	-2.55**
γ₇	0.2290	1.08
γ₈	-0.0347	-0.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.8708	3.14***
α ARCH Response to squared shocks	0.1523	6.44***
β GARCH Volatility persistence	0.8418	37.34***

γ₁	0.6774	1.72*
γ₂	-2.3542	-2.43**
γ₃	3.5281	2.77***
γ₄	-2.6505	-2.61***
γ₅	1.1307	2.82***
γ₆	-0.5127	-2.55**
γ₇	0.2290	1.08
γ₈	-0.0347	-0.13

V-Lab

Eurocash Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Eurocash Sa Analyses