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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3155	4.43***
α ARCH Response to squared shocks	0.2257	11.83***
β GARCH Volatility persistence	0.7738	41.45***

γ₁	-2.6204	-1.94*
γ₂	4.3721	1.90*
γ₃	-2.7354	-1.90*
γ₄	1.6856	2.66***
γ₅	-0.9773	-2.95***
γ₆	0.0440	0.17
γ₇	0.4307	1.87*
γ₈	-0.4881	-1.58
γ₉	0.5941	1.79*
γ₁₀	-0.8484	-2.10**

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Jordan Electric Power Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jordan Electric Power Co Analyses