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	0.8994	0.28
αARCH	0.1053	0.03
βGARCH	0.8947	0.24

γ₁	-0.4592	-0.02
γ₂	0.6102	0.02

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8994	0.28
α ARCH Response to squared shocks	0.1053	0.03
β GARCH Volatility persistence	0.8947	0.24

γ₁	-0.4592	-0.02
γ₂	0.6102	0.02

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Kimbell Royalty Partners LP Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kimbell Royalty Partners LP Analyses