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
mwindow	56
αARCH	0.1057	13.29***
βGARCH	0.8072	50.79***
γleverage	-0.1057	-3.82***
λ₁tau intercept	10.0000	0.06
λ₂forecast adj.	0.1192	2.91***
λ₃tau persistence	0.8808	21.72***

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1057	13.29***
β GARCH Volatility persistence	0.8072	50.79***
γ leverage Additional response to negative shocks	-0.1057	-3.82***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.1192	2.91***
λ₃ tau persistence Long-term factor persistence	0.8808	21.72***

V-Lab

North European Oil Royalty Trust ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other North European Oil Royalty Trust Analyses