How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	0.9509	3.66***
αARCH	0.1297	11.03***
βGARCH	0.8579	66.60***

γ₁	0.3088	1.35
γ₂	-0.8138	-2.36**
γ₃	1.1141	5.47***
γ₄	-1.1729	-6.52***
γ₅	0.6452	2.74***
γ₆	0.1268	0.49
γ₇	-0.3238	-1.67*
γ₈	0.1843	1.16
γ₉	-0.0889	-0.53
γ₁₀	-0.4291	-1.27

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9509	3.66***
α ARCH Response to squared shocks	0.1297	11.03***
β GARCH Volatility persistence	0.8579	66.60***

γ₁	0.3088	1.35
γ₂	-0.8138	-2.36**
γ₃	1.1141	5.47***
γ₄	-1.1729	-6.52***
γ₅	0.6452	2.74***
γ₆	0.1268	0.49
γ₇	-0.3238	-1.67*
γ₈	0.1843	1.16
γ₉	-0.0889	-0.53
γ₁₀	-0.4291	-1.27

V-Lab

Japan Creative Platform Grp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Japan Creative Platform Grp Analyses