How volatility evolves over time

How illiquidity evolves over time

{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	2.8579	6.86***
αARCH	0.0752	7.03***
βGARCH	0.9110	67.25***

γ₁	-0.0499	-5.27***
γ₂	0.0919	6.34***
γ₃	-0.0519	-5.87***
γ₄	0.0112	1.09

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.8579	6.86***
α ARCH Response to squared shocks	0.0752	7.03***
β GARCH Volatility persistence	0.9110	67.25***

γ₁	-0.0499	-5.27***
γ₂	0.0919	6.34***
γ₃	-0.0519	-5.87***
γ₄	0.0112	1.09

V-Lab

Cross Timbers Royalty Trust Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cross Timbers Royalty Trust Analyses