How volatility evolves over time

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{name} Model Equation

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How returns affect tomorrow's illiquidity

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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	2.3899	4.11***
αARCH	0.1207	10.45***
βGARCH	0.8511	66.38***

γ₁	-0.2347	-2.62***
γ₂	0.3139	2.25**
γ₃	0.0182	0.17
γ₄	-0.2280	-2.52**
γ₅	0.2720	3.50***
γ₆	-0.1415	-1.63
γ₇	-0.3014	-3.28***
γ₈	0.6923	9.13***
γ₉	-0.7937	-6.77***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3899	4.11***
α ARCH Response to squared shocks	0.1207	10.45***
β GARCH Volatility persistence	0.8511	66.38***

γ₁	-0.2347	-2.62***
γ₂	0.3139	2.25**
γ₃	0.0182	0.17
γ₄	-0.2280	-2.52**
γ₅	0.2720	3.50***
γ₆	-0.1415	-1.63
γ₇	-0.3014	-3.28***
γ₈	0.6923	9.13***
γ₉	-0.7937	-6.77***

V-Lab

Marine Petroleum Trust Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Marine Petroleum Trust Analyses