How volatility evolves over time

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{name} Model Equation

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How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	5.0000	0.10
αARCH	0.0000	0.00
βGARCH	0.9460	15.57***
γleverage	0.1080	0.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.10
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9460	15.57***
γ leverage Additional response to negative shocks	0.1080	0.21

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Prolific Technology Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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