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	1.1756	4.78***
αARCH	0.1366	9.65***
βGARCH	0.8524	61.71***

γ₁	0.0704	1.30
γ₂	-0.2494	-3.03***
γ₃	0.4456	7.46***
γ₄	-0.7883	-8.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1756	4.78***
α ARCH Response to squared shocks	0.1366	9.65***
β GARCH Volatility persistence	0.8524	61.71***

γ₁	0.0704	1.30
γ₂	-0.2494	-3.03***
γ₃	0.4456	7.46***
γ₄	-0.7883	-8.58***

V-Lab

Liberty Gold Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Liberty Gold Corp Analyses