How volatility evolves over time

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Param	Value	t-stat
ωconst	0.8500	5.22***
αARCH	0.2018	10.93***
βGARCH	0.7980	43.17***

γ₁	-0.0576	-0.17
γ₂	-1.1506	-2.14**
γ₃	2.2155	6.46***
γ₄	-1.5659	-5.27***
γ₅	0.8390	2.83***
γ₆	-0.2253	-0.85
γ₇	-0.8874	-2.28**
γ₈	2.3842	2.91***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8500	5.22***
α ARCH Response to squared shocks	0.2018	10.93***
β GARCH Volatility persistence	0.7980	43.17***

γ₁	-0.0576	-0.17
γ₂	-1.1506	-2.14**
γ₃	2.2155	6.46***
γ₄	-1.5659	-5.27***
γ₅	0.8390	2.83***
γ₆	-0.2253	-0.85
γ₇	-0.8874	-2.28**
γ₈	2.3842	2.91***

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Image Information Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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