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{name} Model Equation

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How returns affect tomorrow's illiquidity

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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	1.4098	4.52***
αARCH	0.0894	8.92***
βGARCH	0.8648	56.06***

γ₁	0.0864	5.47***
γ₂	-0.1368	-6.09***
γ₃	0.0826	5.38***
γ₄	-0.0515	-3.67***
γ₅	0.0242	1.84*
γ₆	-0.0034	-0.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4098	4.52***
α ARCH Response to squared shocks	0.0894	8.92***
β GARCH Volatility persistence	0.8648	56.06***

γ₁	0.0864	5.47***
γ₂	-0.1368	-6.09***
γ₃	0.0826	5.38***
γ₄	-0.0515	-3.67***
γ₅	0.0242	1.84*
γ₆	-0.0034	-0.35

V-Lab

E.ON SE Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other E.ON SE Analyses