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	1.4504	0.02
αARCH	0.1656	0.00
βGARCH	0.8344	0.01

γ₁	0.8592	0.00
γ₂	-1.2928	0.00
γ₃	-1.1508	-0.01
γ₄	2.9812	0.05
γ₅	-0.9167	0.00
γ₆	-3.3336	-0.01
γ₇	6.4113	0.02
γ₈	-5.5480	-0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4504	0.02
α ARCH Response to squared shocks	0.1656	0.00
β GARCH Volatility persistence	0.8344	0.01

γ₁	0.8592	0.00
γ₂	-1.2928	0.00
γ₃	-1.1508	-0.01
γ₄	2.9812	0.05
γ₅	-0.9167	0.00
γ₆	-3.3336	-0.01
γ₇	6.4113	0.02
γ₈	-5.5480	-0.01

V-Lab

Stanmore Resources Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Stanmore Resources Ltd Analyses