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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	0.3325	2.03**
αARCH	0.2456	0.15
βGARCH	0.7544	0.45

γ₁	0.3820	0.07
γ₂	0.2647	0.04
γ₃	-1.6004	-0.44
γ₄	1.0671	0.28
γ₅	1.5675	0.33
γ₆	-3.6707	-0.85
γ₇	3.5527	1.22
γ₈	-5.2728	-0.84

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3325	2.03**
α ARCH Response to squared shocks	0.2456	0.15
β GARCH Volatility persistence	0.7544	0.45

γ₁	0.3820	0.07
γ₂	0.2647	0.04
γ₃	-1.6004	-0.44
γ₄	1.0671	0.28
γ₅	1.5675	0.33
γ₆	-3.6707	-0.85
γ₇	3.5527	1.22
γ₈	-5.2728	-0.84

V-Lab

Pacific Coast Oil Trust Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pacific Coast Oil Trust Analyses