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	1.0460	0.03
αARCH	0.1148	0.00
βGARCH	0.8852	0.02

γ₁	-0.0909	0.00
γ₂	0.5405	0.01
γ₃	-1.1006	-0.01
γ₄	0.9858	0.07
γ₅	-0.4544	-0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0460	0.03
α ARCH Response to squared shocks	0.1148	0.00
β GARCH Volatility persistence	0.8852	0.02

γ₁	-0.0909	0.00
γ₂	0.5405	0.01
γ₃	-1.1006	-0.01
γ₄	0.9858	0.07
γ₅	-0.4544	-0.01

V-Lab

Arafura Rare Earths Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Arafura Rare Earths Ltd Analyses