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	7.0025	2.24**
αARCH	0.1356	8.78***
βGARCH	0.8639	55.27***

γ₁	-0.6182	-3.27***
γ₂	1.7634	3.88***
γ₃	-2.0624	-4.51***
γ₄	1.3947	5.13***
γ₅	-0.7562	-5.38***

Parameter	Value	t-statistic
ω const Unconditional variance weight	7.0025	2.24**
α ARCH Response to squared shocks	0.1356	8.78***
β GARCH Volatility persistence	0.8639	55.27***

γ₁	-0.6182	-3.27***
γ₂	1.7634	3.88***
γ₃	-2.0624	-4.51***
γ₄	1.3947	5.13***
γ₅	-0.7562	-5.38***

V-Lab

Diversified Royalty Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Diversified Royalty Corp Analyses