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	1.1072	0.32
αARCH	0.0718	0.03
βGARCH	0.9282	0.35

γ₁	-0.2011	-0.05
γ₂	0.1507	0.02
γ₃	0.1830	0.04
γ₄	-0.1931	-0.06
γ₅	0.0531	0.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1072	0.32
α ARCH Response to squared shocks	0.0718	0.03
β GARCH Volatility persistence	0.9282	0.35

γ₁	-0.2011	-0.05
γ₂	0.1507	0.02
γ₃	0.1830	0.04
γ₄	-0.1931	-0.06
γ₅	0.0531	0.10

V-Lab

Permian Basin Royalty Trust Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Permian Basin Royalty Trust Analyses