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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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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	16.0869	0.48
αARCH	0.0353	1.60
βGARCH	0.9678	2.87***
νDF	8.0965	0.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	16.0869	0.48
α ARCH Response to squared shocks	0.0353	1.60
β GARCH Volatility persistence	0.9678	2.87***
ν DF Student-t tail thickness	8.0965	0.04

V-Lab

Versamet Royalties Corp GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Versamet Royalties Corp Analyses