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
mwindow	21
αARCH	0.1086	7.80***
βGARCH	0.6618	18.91***
γleverage	-0.0817	-2.22**
λ₁tau intercept	5.9155	2.17**
λ₂forecast adj.	0.7828	14.62***
λ₃tau persistence	0.2172	3.92***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1086	7.80***
β GARCH Volatility persistence	0.6618	18.91***
γ leverage Additional response to negative shocks	-0.0817	-2.22**
λ₁ tau intercept Baseline long-term coefficient	5.9155	2.17**
λ₂ forecast adj. Forecast performance sensitivity	0.7828	14.62***
λ₃ tau persistence Long-term factor persistence	0.2172	3.92***

V-Lab

VEON Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other VEON Ltd Analyses