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	0.0511	1.82*
αARCH	0.0219	5.62***
βGARCH	0.9539	298.75***
γleverage	0.0483	7.57***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0511	1.82*
α ARCH Response to squared shocks	0.0219	5.62***
β GARCH Volatility persistence	0.9539	298.75***
γ leverage Additional response to negative shocks	0.0483	7.57***

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Caterpillar Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Caterpillar Inc Analyses