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	1.4117	2.86***
αARCH	0.1547	2.94***
βGARCH	0.5902	4.27***

γ₁	4.1939	1.55
γ₂	-11.5561	-2.63***
γ₃	14.8648	4.24***
γ₄	-12.3900	-4.31***
γ₅	5.0469	2.21**
γ₆	2.1316	1.29
γ₇	-2.2267	-1.65*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4117	2.86***
α ARCH Response to squared shocks	0.1547	2.94***
β GARCH Volatility persistence	0.5902	4.27***

γ₁	4.1939	1.55
γ₂	-11.5561	-2.63***
γ₃	14.8648	4.24***
γ₄	-12.3900	-4.31***
γ₅	5.0469	2.21**
γ₆	2.1316	1.29
γ₇	-2.2267	-1.65*

V-Lab

Collective Mining Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Collective Mining Ltd Analyses