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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	0.8920	0.65
αARCH	0.0938	0.45
βGARCH	0.6942	1.98**
γleverage	-0.1372	-0.71

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8920	0.65
α ARCH Response to squared shocks	0.0938	0.45
β GARCH Volatility persistence	0.6942	1.98**
γ leverage Additional response to negative shocks	-0.1372	-0.71

V-Lab

Versamet Royalties Corp EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Versamet Royalties Corp Analyses