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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4131	4.52***
α ARCH Response to squared shocks	0.0892	8.92***
β GARCH Volatility persistence	0.8654	56.26***

γ₁	0.0870	5.48***
γ₂	-0.1377	-6.09***
γ₃	0.0830	5.37***
γ₄	-0.0517	-3.66***
γ₅	0.0243	1.83*
γ₆	-0.0035	-0.36

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