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How volatility evolves over time

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{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	0.5936	2.14**
αARCH	0.2007	2.49**
βGARCH	0.7838	7.82***
γleverage	0.1249	2.04**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5936	2.14**
α ARCH Response to squared shocks	0.2007	2.49**
β GARCH Volatility persistence	0.7838	7.82***
γ leverage Additional response to negative shocks	0.1249	2.04**

V-Lab

Osisko Gold Group Inc EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Osisko Gold Group Inc Analyses