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	1.0657	2.55**
αARCH	0.1400	0.17
βGARCH	0.8600	1.07

γ₁	0.0073	0.01
γ₂	-0.0212	-0.02
γ₃	0.0088	0.51

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0657	2.55**
α ARCH Response to squared shocks	0.1400	0.17
β GARCH Volatility persistence	0.8600	1.07

γ₁	0.0073	0.01
γ₂	-0.0212	-0.02
γ₃	0.0088	0.51

V-Lab

VEON Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other VEON Ltd Analyses