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{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	3.1279	1.12
αARCH	0.0733	8.67***
βGARCH	0.9897	101.32***
νDF	5.7010	2.05**

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.1279	1.12
α ARCH Response to squared shocks	0.0733	8.67***
β GARCH Volatility persistence	0.9897	101.32***
ν DF Student-t tail thickness	5.7010	2.05**

V-Lab

E.ON SE GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other E.ON SE Analyses