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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	1.4161	4.54***
α ARCH Response to squared shocks	0.0896	8.92***
β GARCH Volatility persistence	0.8645	55.91***

γ₁	0.0878	5.52***
γ₂	-0.1389	-6.12***
γ₃	0.0834	5.38***
γ₄	-0.0513	-3.64***
γ₅	0.0234	1.75*
γ₆	-0.0025	-0.26

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