How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.7895	3.22***
αARCH	0.1697	2.92***
βGARCH	0.5887	5.36***

γ₁	9.0567	2.65***
γ₂	-19.9210	-3.68***
γ₃	19.3166	5.40***
γ₄	-11.0155	-3.95***
γ₅	0.0673	0.03
γ₆	3.9493	2.66***
γ₇	0.5304	0.36
γ₈	-2.4251	-1.28

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7895	3.22***
α ARCH Response to squared shocks	0.1697	2.92***
β GARCH Volatility persistence	0.5887	5.36***

γ₁	9.0567	2.65***
γ₂	-19.9210	-3.68***
γ₃	19.3166	5.40***
γ₄	-11.0155	-3.95***
γ₅	0.0673	0.03
γ₆	3.9493	2.66***
γ₇	0.5304	0.36
γ₈	-2.4251	-1.28

V-Lab

Collective Mining Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Collective Mining Ltd Analyses