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	0.4222	0.02
αARCH	0.0000	0.00
βGARCH	0.9999	0.23

γ₁	-77.0054	-0.01
γ₂	103.7534	0.04
γ₃	-59.9846	-0.04
γ₄	68.6647	0.07
γ₅	-68.6961	-0.10
γ₆	52.7735	0.11
γ₇	-17.5132	-0.05
γ₈	-16.9461	-0.07

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4222	0.02
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9999	0.23

γ₁	-77.0054	-0.01
γ₂	103.7534	0.04
γ₃	-59.9846	-0.04
γ₄	68.6647	0.07
γ₅	-68.6961	-0.10
γ₆	52.7735	0.11
γ₇	-17.5132	-0.05
γ₈	-16.9461	-0.07

V-Lab

EMC Gold Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other EMC Gold Corp Analyses