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	0.8639	0.00
αARCH	0.0000	0.00
βGARCH	0.9998	0.00

γ₁	405.5936	0.00
γ₂	-1,176.7076	-0.11
γ₃	1,530.5129	0.13
γ₄	-1,565.1541	-0.15
γ₅	2,211.5474	0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8639	0.00
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9998	0.00

γ₁	405.5936	0.00
γ₂	-1,176.7076	-0.11
γ₃	1,530.5129	0.13
γ₄	-1,565.1541	-0.15
γ₅	2,211.5474	0.22

V-Lab

Orsted AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Orsted AS Analyses