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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.05
β GARCH Volatility persistence	0.0000	0.03
γ leverage Additional response to negative shocks	0.5000	21.58***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.4258	14.10***
λ₃ tau persistence Long-term factor persistence	0.0000	0.05

V-Lab

Versamet Royalties Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Versamet Royalties Corp Analyses