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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	15.0946	1.37
αARCH	0.0747	1.14
βGARCH	0.8929	10.70***
νDF	4.6748	0.39

Parameter	Value	t-statistic
ω const Unconditional variance weight	15.0946	1.37
α ARCH Response to squared shocks	0.0747	1.14
β GARCH Volatility persistence	0.8929	10.70***
ν DF Student-t tail thickness	4.6748	0.39

V-Lab

Osisko Gold Group Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Osisko Gold Group Inc Analyses