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	1.2191	3.34***
αARCH	0.2710	13.08***
βGARCH	0.7270	35.32***

γ₁	0.1291	1.11
γ₂	-0.5202	-2.94***
γ₃	0.9595	7.23***
γ₄	-1.2707	-6.29***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2191	3.34***
α ARCH Response to squared shocks	0.2710	13.08***
β GARCH Volatility persistence	0.7270	35.32***

γ₁	0.1291	1.11
γ₂	-0.5202	-2.94***
γ₃	0.9595	7.23***
γ₄	-1.2707	-6.29***

V-Lab

Sea Oil Pcl Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sea Oil Pcl Analyses