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	1.5940	6.33***
αARCH	0.0588	11.03***
βGARCH	0.9292	142.18***

γ₁	-0.0528	-2.45**
γ₂	0.0490	1.51
γ₃	0.0165	0.88
γ₄	0.0092	0.65
γ₅	-0.0562	-4.07***
γ₆	0.0563	3.34***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5940	6.33***
α ARCH Response to squared shocks	0.0588	11.03***
β GARCH Volatility persistence	0.9292	142.18***

γ₁	-0.0528	-2.45**
γ₂	0.0490	1.51
γ₃	0.0165	0.88
γ₄	0.0092	0.65
γ₅	-0.0562	-4.07***
γ₆	0.0563	3.34***

V-Lab

Sabine Royalty Trust Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sabine Royalty Trust Analyses