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	0.1354	3.78***
αARCH	0.5258	3.68***
βGARCH	0.2712	2.62***

γ₁	-0.8601	-1.86*
γ₂	0.9311	1.31
γ₃	0.3898	0.65
γ₄	-2.3909	-3.31***
γ₅	4.9541	5.78***
γ₆	-5.9370	-5.41***
γ₇	5.3316	3.47***
γ₈	-6.0514	-2.50**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1354	3.78***
α ARCH Response to squared shocks	0.5258	3.68***
β GARCH Volatility persistence	0.2712	2.62***

γ₁	-0.8601	-1.86*
γ₂	0.9311	1.31
γ₃	0.3898	0.65
γ₄	-2.3909	-3.31***
γ₅	4.9541	5.78***
γ₆	-5.9370	-5.41***
γ₇	5.3316	3.47***
γ₈	-6.0514	-2.50**

V-Lab

RTG Mining Inc. Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other RTG Mining Inc. Analyses