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	1.1712	4.79***
αARCH	0.1369	9.67***
βGARCH	0.8518	61.72***

γ₁	0.0683	1.30
γ₂	-0.2433	-3.01***
γ₃	0.4382	7.54***
γ₄	-0.8124	-8.94***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1712	4.79***
α ARCH Response to squared shocks	0.1369	9.67***
β GARCH Volatility persistence	0.8518	61.72***

γ₁	0.0683	1.30
γ₂	-0.2433	-3.01***
γ₃	0.4382	7.54***
γ₄	-0.8124	-8.94***

V-Lab

Liberty Gold Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Liberty Gold Corp Analyses