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	1.6779	2.74***
αARCH	0.2859	5.19***
βGARCH	0.7089	12.56***

γ₁	-18.6194	-4.82***
γ₂	34.3326	6.17***
γ₃	-21.2008	-7.33***
γ₄	5.6589	2.66***
γ₅	-0.4103	-0.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6779	2.74***
α ARCH Response to squared shocks	0.2859	5.19***
β GARCH Volatility persistence	0.7089	12.56***

γ₁	-18.6194	-4.82***
γ₂	34.3326	6.17***
γ₃	-21.2008	-7.33***
γ₄	5.6589	2.66***
γ₅	-0.4103	-0.16

V-Lab

Noram Drilling AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Noram Drilling AS Analyses