How volatility evolves over time

How illiquidity evolves over time

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How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	1.0572	6.94***
αARCH	0.0535	14.27***
βGARCH	0.9452	250.13***

γ₁	-0.0066	-1.85*
γ₂	0.0104	1.52

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0572	6.94***
α ARCH Response to squared shocks	0.0535	14.27***
β GARCH Volatility persistence	0.9452	250.13***

γ₁	-0.0066	-1.85*
γ₂	0.0104	1.52

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Caterpillar Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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