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	1.6685	5.19***
αARCH	0.2157	6.99***
βGARCH	0.7347	21.28***

γ₁	1.6287	3.62***
γ₂	-3.4515	-4.87***
γ₃	2.3017	5.19***
γ₄	0.3629	0.66

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6685	5.19***
α ARCH Response to squared shocks	0.2157	6.99***
β GARCH Volatility persistence	0.7347	21.28***

γ₁	1.6287	3.62***
γ₂	-3.4515	-4.87***
γ₃	2.3017	5.19***
γ₄	0.3629	0.66

V-Lab

Rezolute Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rezolute Inc Analyses