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	0.7142	3.25***
αARCH	0.2766	5.87***
βGARCH	0.7217	15.45***

γ₁	0.7558	1.30
γ₂	-2.6942	-2.72***
γ₃	4.7982	5.28***
γ₄	-7.0736	-9.35***
γ₅	8.4402	11.18***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7142	3.25***
α ARCH Response to squared shocks	0.2766	5.87***
β GARCH Volatility persistence	0.7217	15.45***

γ₁	0.7558	1.30
γ₂	-2.6942	-2.72***
γ₃	4.7982	5.28***
γ₄	-7.0736	-9.35***
γ₅	8.4402	11.18***

V-Lab

Mount Everest Gold Group Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mount Everest Gold Group Co Ltd Analyses