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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0578	4.10***
α ARCH Response to squared shocks	0.1484	11.54***
β GARCH Volatility persistence	0.8515	66.21***

γ₁	-0.3233	-1.03
γ₂	0.3956	0.97
γ₃	-0.5712	-2.08**
γ₄	1.3167	3.33***
γ₅	-1.7397	-4.43***
γ₆	1.5210	4.46***
γ₇	-0.4928	-1.73*
γ₈	-0.5645	-2.54**
γ₉	0.8146	4.15***
γ₁₀	-1.0243	-2.59***

V-Lab

Avino Silver & Gold Mins Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Avino Silver & Gold Mins Ltd Analyses