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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
mwindow	21
αARCH	0.1446	2.74***
βGARCH	0.5469	1.85*
γleverage	-0.1446	-2.84***
λ₁tau intercept	2.1306	1.40
λ₂forecast adj.	0.1110	1.85*
λ₃tau persistence	0.7494	5.08***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1446	2.74***
β GARCH Volatility persistence	0.5469	1.85*
γ leverage Additional response to negative shocks	-0.1446	-2.84***
λ₁ tau intercept Baseline long-term coefficient	2.1306	1.40
λ₂ forecast adj. Forecast performance sensitivity	0.1110	1.85*
λ₃ tau persistence Long-term factor persistence	0.7494	5.08***

V-Lab

Osisko Gold Group Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Osisko Gold Group Inc Analyses